But it's not part of the text, it is a decoration. Even if it was in Unicode, I would not expect it to be part of the copied text.

Isn't this something like a stylistic editorial decision? Basically it could be either way depending on what the author/publisher/editor wants.

On a lot of pages links are hidden as plain text and only show up if someone hovers over them. (Great? Confusing? Bad UX? Sure, but still a choice.)

At the same time someone else might just use underlining, but no different color. And someone might just want to use a symbol.