We remove most URLs and lookup foreign keys from the tables and queries in a linked schema for security purposes. As you've discovered, foreign keys to tables within the linked schema are allowed as are container and user foreign keys.

You can restore the lookup foreign keys by using the metadata xml either in the linked schema definition itself or as a metadata override xml on the query/table. For reference, the metadata xml is applied in order listed at the bottom of this page:

https://www.labkey.org/wiki/home/Documentation/page.view?name=columnMetadata

Alternatively, you could write the query in the source schema and include it in the list of queries and tables in the linked schema.