If you’ve downloaded the whole stacks project as book.pdf and opened it in any reasonable pdf viewer, then you’ve been able to click on internal references to go straight to lemmas referred to in this or that proof. This is kind of essential as the document is too long to manually go back and forth between references. As far as I know this works in adobe reader (acroread), xpdf , okular and even evince.
But if you go to the “browse chapters page“and open a pdf file in an embedded pdf viewer, then the cross-file-hyperlinks do not work unless you use adobe reader as far as I know. For example if you do this on an apple machine using “preview” then this does not work (at least it did not last time I tried). Here I am talking not just about opening the correct file, but also opening it at the correct spot (named destination).
If you download the tar file with all the pdf files and untar and view them using xpdf, okular or acroread in the resulting directory, then cross-file-hyperlinks work.
Of course this is not a big problem since the whole book version should work for everybody. But as an online document it doesn’t work that well since it is kind of a large download. On the other hand, since not everybody has acrobat reader installed (or the browser plugin enabled) having smaller chapters with cross file links doesn’t work either…