Not sure if this is valid use of the shortcode, but a workaround that seems to work is to use [pass] inside [loop]:
[loop...]
[pass fields='mylink,title']
<a href='{MYLINK}'>{TITLE}</a>
[/pass]
[/loop]
So far it takes care of all the lingering issues with links and shortcodes. Do you see any potential issue with doing it this way?