The reStructuredText Markup Specification has the following to say about reference names for links:
Simple reference names are single words consisting of alphanumerics plus isolated (no two adjacent) internal hyphens, underscores, periods, colons and plus signs; no whitespace or other characters are allowed
The highlighter currently does not allow colon, but does a regex on anything that is not a colon. I can understand that it might allow a bit more characters than the spec, but I'm missing highlighting when I use a colon (e.g. as a separator: .. _figure:this-is-my-figure:).