It's curious you mention checking where links link to, because I think that's also another user expectation failure. The url that appears in the status bar below (or what was once a status bar) is not necessarily the link's true destination. You can go to any google search results page, hover over the links in the results and compare with the href attributes in the <a> tags. They're different. It looks like you'd be going directly to the page that's on the URL, but you're actually first going to google and google redirects you to the URL you saw.
It used to be that checking the url in the status bar allowed you to make sure the link really would take you to where the text made you think it would take you, but that's no longer the case. It seems one can easily make a link that seems like it would take you to your bank and then take you to a phished page.
I would bet 99%+ of web users do not have a sufficiently detailed mental model of web pages that this is something they've decided one way or the other.
Google Analytics et al, allow custom events which are used to record mouse overs, clicks, et cetera on a majority of websites. I always just assume everything I do, down to page scrolls and mouse movements, is recorded.