Doxia markdown module doesn't seem to be able to convert links to other markdown files, to links to the converted html files, by rewriting them. As a result, it cannot generate sets of crosslinked markdown files.
There's a need for this feature (including myself), as it can be seen in the following stack overflow question: https://stackoverflow.com/questions/36708241/getting-doxia-module-markdown-to-rewrite-md-links
The current workaround suggested in this stackoverflow is using markdown-page-generator-plugin instead (a different generation plugin), that has an option called transformRelativeMarkdownLinks. This still seems to be valid for doxia-module-markdown 1.8.
markdown-page-generator-plugin can also provide some example on how to implement this. It seems to implement LinkResolver. See https://github.com/walokra/markdown-page-generator-plugin/blob/master/src/main/java/com/ruleoftech/markdown/page/generator/plugin/FlexmarkLinkResolver.java
Setting this rewrite as an option, as markdown-page-generator-plugin does, seems sensitive as some documentations may legitimately link to Markdown files. If options want to be avoided, I suggest that rewrite is enabled only for relative links.