For instance, see What May Happen in the Next Hundred Years. This does not have a Wikipedia page, but the link is shown as blue anyway.
I suspect that this is because the Wikipedia page doesn't return a 404, it returns a page saying that Wikipedia doesn't have an article. If you just check to see if the link exists and don't check to see if it links to a missing article page, you'd end up coloring every Wikipedia link blue.
Vorticity is the one who added that. He'll probably have to add a condition to make the link red if Wikipedia has no article for the page.
I'm not sure to what extent MediaWiki is capable of detecting interwiki links. From mediawikiwiki:Help:Interwiki linking#Interwiki links: "Unlike internal links, interwiki links do not use page existence detection, so an interwiki link will appear blue even if the page does not exist on the remote wiki." And in the general case, I don't see how it can scale, given how interwiki links are allowed to sites not running MediaWiki software (such as wiki:DontRepeatYourself on Programming Tropes).