Good question, but no!
You should not add links to external content in the heading.
The reason is that many frameworks uses the heading as a link to "self".
This is a good convention and it's more and more used.
(I often refer to sections on Wikipedia, and I miss this feature over there.)
Just like the heading in this question, and just like the headings in most blog solutions.
Using the header as a link to the "self" in lists is OK. That's what
nngroup and gov.uk does.
Answer to OP's request for clarification in comment:
When I saw your first example, it looked like an excerpt of an article where the header was pointing to an external article.
As if the "Computer" article on Wikipedia would use the "Memory" header as a link to the main article about "Computer data storage" (in another web-page).
That would be very wrong!
After a closer look, the nngroup is doing exactly this.
(And my initial statement was misleading and confusing).
Therefore: In articles like this, the header should only link to the
section it is the caption for.
So, when is it OK?
Well, sometimes the content is a "collection of contet-teasers". (There's probably a name for this design pattern :-P). The "content teasers" are usually presented as some kind of boxes. If not explicitly designed as boxes, then the gestalt principles will make you perceive them as boxes. ... ... ... #BetterExplainedVisually...
We're talking about stuff like Flipboard, Windows 8, AppStore, Newspaper front pages, Search results etc.
This is actually what gov.uk does
In these layouts, the header is part of a context where the wholeness of the title + the surroundings makes it natural to use the title as a springboard for the underlying information (ref. Fitts law and "easy target").