Yes they index these links. The "problem" (if you can call it that) is whether the crawlers discover the links or not, and if they do, how much of a priority th

Yes they index these links. The "problem" (if you can call it that) is whether the crawlers discover the links or not, and if they do, how much of a priority they are. For Twitter specifically, remember that lots of websites syndicate tweets, links and all. It's likely a crawler would discover the links on non-twitter.com websites.