The function jiraMarkup currently only automatically creates links if the project key is the same as in the current issue (i.e a reference to an issue in the same project has been typed).
It was implemented this way to prevent broken links if another project (with references in other issues) was archived.
So, linking to EXAMPLE-1 from within EXAMPLE-2 will generate an auto-link, whilst linking to EXAMPLE-1 from ELPMAXE-3 will not.
When the client filtering headers are present, we have a better idea of which projects are likely to exist (no guarantee they do, though) and so could enable autolinking to issues with those project keys.
An alternative solution would be to do what JIRA does - identify any string that looks like an issue key, check the database to see if it exists and then convert to a link if it does. Seems inefficient though.