Summer, the first example is a Downlevel-revealed Comment: it will be exposed/used for IE9 and above and any non-IE browsers.
I don't know what the mousedown function call is for but I would assume there is an equivalent keydown event elsewhere.
It should not be a compliance error unless your scanner can advise there is no keydown event handling this.

I find is strange that a screen reader cannot determine a font's emphasis from CSS.
If really so, will a font that has bold variant work instead?
The text itself is explaining the importance.

Is is fairly standard jQuery to add a caption, alt text or an external link icon to such links.

A lot of WCAG is Advisory.
Have you detailed violation information as if you know what WCAG is telling you, it provides alternatives.

Acorn

P.S. I am all for ARIA inclusion but it is a very big undertaking.