I found the following weird thing in org-latex, and I think it is a bug:
The customization option "org-export-latex-hyperref-format" is suppose to render links to hyperrefs in the exported tex file. However, in org-latex.el, lines 1889 and 1892, the string "\\hyperref[%s]{%s}" is hard-coded, so that the link export format is not really customizable. I replaced this string with the custom variable and the option works as expected - I.e., changing the option chanced the format of exported links.

Thanks,
  Guy Wiener.