I think this is a bug, but I want to be sure I have not missed some obscure configuration setting first.
I am running JIRA v5.0.1 and Confluence v4.1.3 with a shared username authentication managed by Crowd.
I have set up Application Links both ways between JIRA and Confluence.
I have set up Project-specific Application Links in JIRA to specific Spaces in Confluence.
Inserting a JIRA Issue using the Atlassian-provided macro in a Confluence page correctly displays the JIRA Issue information in the page, and provides a correctly functioning link to that issue. In the selected JIRA Issue, in the "Issue Links" section of the Issue display, it correctly references that the Wiki Page mentions the Issue, however it wrongly tells the user they do not have permission to see the page, even though they do have correct permissions. This is illustrated in the screen shot: