I noticed that user tags in profile posts are not parsed in the recent activity tab OR the posting tab. The "or" is because in one installation that I was testing I saw the issue in the recent activity tab - and in the postings tab it worked ok. But in another installation the situation was the opposite, it worked fine in the activity tab but not in the postings tab.
Confirmed regarding the Recent Activity feed - I'm surprised this hasn't been noticed before.
FWIW I think the bug in the Postings tab, there, may well be down to an add-on that parses BB code in profile posts, or at least someone manually typing the USER bb code there. To be clear, the syntax that isn't parsing correctly in the news feed is the correct format for profile posts: