It appears that the author(s) of MarkdownViewer++ didn’t choose to implement local/relative links inside the MarkdownViewer++ pane. (Note that external URLs in the MarkdownViewer++ pane go to your default browser, and are not rendered in the MarkdownViewer++ pane, so it already decided against following and rendering external links in the embedded pane.)
The intention of the plugin is stated as “to view a Markdown file rendered on-the-fly” (quoted from MV++ homepage), rather than to be a fully-featured on-the-fly Markdown browser. It makes sense to me, in this design, that it wouldn’t change what’s in the viewer-pane, because the MarkdownViewer++ pane is a live rendering of the active markdown file in the active Notepad++ editor pane – and by rendering a different page there in the viewer pane than is active in the Notepad++ editor pane, it would confuse me as a user.
However, if you want to look through the open issues for MarkdownViewer++, you can see if someone has already asked for that feature; if not, you may submit your own request there. No guarantees that it will be implemented if asked for (if I had a vote, I would vote against it), but maybe the developer will agree with you rather than me, so it might be worth a try.