Things to consider:
1. It makes links less recognizable, diluting their meaning.
2. It's
easy to end up with something
that looks horrible even to those who are using the standard settings.
3. Vision issues (like color deficiency and needing high contrast) are more common than you think.
Personally, I wouldn't use this feature (both because of numbers 1 and 2 above and because I don't care about the difference in destination) and would revert imported text using multiple link colors to the default. But that's just me.
PS: Did you find all the links in #2?