Yes that is right SettingsCommand only exposes id,
label and Invoked(delegate). However this line (entry point that goes to the web instead
of displaying UI should provide "a visual clue) is written in context of Entry points which
are added to Settings Pane.
Add entry points <From Guidelines Doc>
Entry points are text that appear at the top of the Settings pane
Now at start there are general principles which says application should add all its settings in
its own Settings Pane
General principles <From Guidelines Doc>
Use the Settings charm as the
primary entry point to all of your app's settings, and put all of your settings in the Settings pane.
So if we see all of the above statements in context, it means settings inside setting pane should have visual clue which is quite possible. We can have hyperlinks inside settings (I am sure you already knew that).
Hope this makes some sense to you.
Thanks, Sachin