I have configured a Matrix-Build using multiple slave nodes. The parent console output contains the following:
Löse OS11.4-64 aus
OS11.4-64 beendet mit Ergebnis SUCCESS
Löse OS11.1-32 aus
OS11.1-32 beendet mit Ergebnis SUCCESS
Finished: SUCCESS

The Labels OSS11.4-64 and OS11.1-32 are links, but instead of pointing to http://<myserver>/jenkins/job/<myjob>/label=OS11.4-64/ they link to http://<myserver>/hudson/job/<myjob>/label=OS11.4-64/

Even better would be a direct link to the corresponding console log:http://<myserver>/jenkins/job/<myjob>/6/label=OS11.1-32/console