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The problem is that you need intercept and rewrite everything in xhtmlstring. I am guessing that you are trying todo somethig like @Model.MainBody directly into your view. That will work for most cases. But when you have links or you have for instance a block inside and XhtmlString property you will need to use the Html.PropertyFor. If you are not using that helper you will get the behavior you have at the moment sadly. :/
I'm trying to use ToHtmlString(...) on an XHtmlString. When I do that, the links are not rewritten. I still get internal links, not external.
FYI: I'm using PrincipalInfo.AnonymousPrincipal, and I have some events hooked up to ContentRoute.CreatedVirtualPath.