Vueの神（Evan You）によるコメント
dynamic HTML with links · Issue #48 · vuejs/vue-router
This should work, but $compile() is pretty low-level and you need to store the returned unlink function and call them later for proper cleanup. The probably easier way is to intercept click events on a containing element, call event.preventDefault(), then call router.go() yourself.
Maybe I should add an option for global link hijacks.