That is correct.
Color inheritance works for all text elements except <a> links by default.
So these would inherit their color:
<h1> <p> <span> etc...
But <a> links will not.
You can, of course, explicitly set a color on <a> links if you wanted to. Inheritance just doesn't happen automatically for those elements.
This is by design, to leave <a> links unstyled by default, so they can indicate navigability clearly. But you're free to style them like any other element.