I have added a templated column to my grid that contains hyperlinks. However, I'm not able to navigate to it within the same context as navigating the grid with the arrow keys. So, if I set focus in the grid, and then use the arrow keys to navigate to the cell with the link in it, I would expect that pressing the Enter Key will put the focus on the link so that I can press enter again to navigate to the link's destination. This is functionality similar to how the GridCommandColumn works where pressing enter on the cell that has the focus, navigates into the cell and puts the focus on the first button in that cell. Then you can hit enter to activate the button or escape to exit back out to focus back on the cell.
Your documentation in the keyboard navigation demo even says that it should do this here: