@kburns - Using the Insert link action, I am able to enter just “mailto:address@domain.tld”:

That’s interesting. And it was functional? That’s what I used first and when it did not function, which was not surprising, I used the html format. 
 
I’ll try again. Maybe I had a typo. ‍♀️

@kburns - My brain missed the word “image” in your original post, so I should clarify something (for all readers): The mailto link does not appear to work when using the Link to action, e.g.:
 

In my previous example, I was using the insert link option on text, which should work on any object that supports that feature, e.g., text, shape, sticky note, card.

Here it is in action using a text object (I am just using the T hotkey to start a text object):

Indeed, when I try entering that using the Link to action, while I do not  get an error, it does not work as expected, and there is no error. I had a look at the Internal and external linking help center article and see the following FAQ:
 

So, I guess we have our answer – although, from a user experience perspective we should be presented with a warning when entering in “mailto:” into the Link to box.

Oh got it. Makes sense. I will do that instead. Thank you.