That is by design, see the article Using the Shared Files Module, it is designed to store files securely and protect them by roles.
I would not generally recommend linking to files in Shared Files from other content. You can upload and link to files directly in the wysiwyg editor if the files don't need to be protected by roles. ie in the editor click the link toolbar item and then you can browse the server and upload files. That is how I would link to public pdf files from html content.
Hope that helps,