The key points from the page you reference…
https://gohugo.io/content-management/shortcodes/#shortcodes-with-markdown
Shortcodes using the
%as the outer-most delimiter will now be fully rendered when sent to the content renderer. They can be part of the generated table of contents, footnotes, etc.
https://gohugo.io/content-management/shortcodes/#shortcodes-without-markdown
The
<character indicates that the shortcode’s inner content does not need further rendering. Often shortcodes without markdown include internal HTML
More explanation and examples here:
https://discourse.gohugo.io/t/render-link-functionality-not-working/26358/13