I'm generally in agreement with Matt but let me elaborate so the one I disagree with makes sense.
• support links with single brackets
So that would be a user making an external link style link to a user?
I think it would be "nice" if that were detected too, as I think the guiding principle should be "If somebody is trying to talk to or about me I'd like to know" but I assume it's an edge case. Links to users are so common that even somebody erratically copy and pasting markup to get their result should have a sample of the normal way. I personally don't know how to do an interwiki user link so if there was a different person with the name Kaldari on French Wikipedia I could see myself using [http://fr.wikipedia.org/wiki/Utilisateur:Kaldari]
... but detecting that would only be useful if it triggered a notification the the user on that other wiki, so reacting correctly to it would be difficult.
My TL;DR: is therefore it sounds like an edge case, that is not worth the effort.
• support user links on 'Wikipedia:' pages
Yes. As Matt said, there are cases where it would frequently be useful.
• support user links without requiring a signature
Definitely. "If somebody is trying to talk to or about me I'd like to know"
• support user links on article pages
This should not trigger often, but I think it should be enabled. I'd imagine being triggered would point to a newbie who needs to be shown talk pages or some sort of harassment in vandalism, but in either case I'd like to know even if somebody else fixes it through normal patrolling.
Luke