Jason:

I just noticed that behavior. Take a look at
[[http://orgmode.org/worg/org-tutorials/org-latex-export.html#sec-17-2-2][latex
export tutorial]]. Just override defaults from org-gnus.el

#+begin_src lisp
(org-add-link-type "gnus" 'org-gnus-open)
#+end_src

-- 
Mikhail