I can repro the issue in the OP too.
I don’t think the old style of the theme/theme component page should be accessible through a UI link anywhere? I think they should all point to the new updated ‘config’ version.
I think the links on the admin warnings also send you to the old style as well.
Couple of screenshots for comparison:
New:
Old:
ETA:
Ah, I may have misunderstood what you meant when you said the links were right. I’m not sure.
If so, the only useful info in this post may be that this also happens for the admin warnings on the dashboard too.
Cross-linking another post that reports it Introducing a new visual layout for themes and theme components - #19 by Moin