I think for now I don’t want to add this… (Thanks @complexpoint for the script workaround). The reason I don’t want to add is because it’s not really a standard feature of Apple’s document based app architecture. Apple’s standard apps as far as I can tell; TextEdit, Pages, Keynote, etc don’t support, so it is unlikely that many people would find and make use of it.
Maybe a more important reason is that in Apple’s current document based architecture “Save All” isn’t so much needed. Documents are autosaved soon after you stop making changes, you generally shouldn’t need to manually save your documents to avoid losing changes. Instead saving is more about creating a version for the File > Revert To feature to find.
It is a bit confusing, and I don’t think Apple has done a great job of explaining how it all works. But it should never be the case on modern (macOS 10.7 and later) macOS that you lose data when you forget to save.
I might to do this eventually, but instead I encourage you to use Command-K to show formatting pallet and then type the single character l to add a link. I feel this is just about the same speed as defining a specific keyboard shortcut for “Add Link” and it only requires one keyboard shortcut. I am trying to not assign to many non-essential keyboard shortcuts, in case I want to add a feature down the road that really needs a shortcut … I don’t want to have used up all the good ones.