No, it doesn’t necessarily apply to most https pages.
A bank, for example, will always only ever refer to its own locally hosted https content.
Gmail, on the other hand, is delivering messages to you with links to external content hosted on other servers that are not Google’s and not usually over https. Those messages come from somebody else in the first place. You’re getting exactly what’s intended.
Your web browser doesn’t know the difference between a banking/commerce site, an email website, or some scam site that’s attempting to mask its nefarious activity by hiding behind legitimate content. So, to be safe, it’s warning you with the struck-thru https and lock icon that there’s something not obvious to you on appearance alone.
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My $0.02: Google could theoretically elect to redirect those urls to an intermediate proxy server of their own and then preserve the pure https experience you might be expecting.
However, doing so would, some might say, break the way the web is supposed to work. where web pages – yes, even web-hosted email – are encoded in HTML and the entire point of the hypertext markup language is to allow in-line references to content elsewhere.
This is especially a concern if the link in email is meant to direct you to logon to a site, like Facebook, where you wouldn’t want a Google-proxy between you and your destination.
I’d like to have the choice myself. Google could conceivably make such a proxy feature a thing that you could opt-in for, via Google Labs, like they do with so many other Gmail improvements.