The way that links, and other things are displayed is set in the stylesheet file for the theme you are using. I'm not sure if our Admin has access to the theme stylesheets through the admin pages in this version of SMF (I suspect not). Since we are hosted as a free site, we have to put up with what we're given. If we had paid for a server, then we would, almost certainly, have access to the filesystem, the sourcecode, the MySQL database and the stylesheets via the backend. But with the freebie, hosted arrangement, we don't have that (because if we did we could get rid of the adverts!).
Your links will change style if you select a different theme in your profile which uses a different stylesheet (Profile -> Modify Profile -> Look And Layout -> Default Theme), however, from an admin point of view it may not be desirable to have everybody on a different theme (a theme other than the default theme) because, if at some later stage the site is customised, using a standard mod - say to add a chatroom, the chances are that the mod will have been written to use the default theme, and will either not work or appear wrong in any other theme.
The admin has the ability to force users onto one theme and not allow them a choice.
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