@tchambers slightly different case. That is for collection (without s) page, not collections (with s) page.
The post payload have additional metadata for the tagged collection & the link *should* go to your local server's collection page instead of remote. Here's a screenshot of what I see, hovering over mastodon.online link points to mastodon.social (my current server).
There's some edge case that the devs may have missed that somehow you're not seeing this, which probably worth reporting.