If you just want to do your own jump, and want to know how to get SynEdit to underline keywords under the mouse when ctrl is hold down.
This is done by unit SynEditMarkupCtrlMouseLink
The instance of TSynEditMarkupCtrlMouseLink can be accessed using
TSynEditMarkupCtrlMouseLink(SynEdit.MarkupByClass[TSynEditMarkupCtrlMouseLink])
Search for fMarkupCtrlMouse, emShowCtrlMouseLinks in SynEdit.
This only does the underline. To capture the click, you can hook OnMouse events, or add "MouseActions"
In any case this leaves it entirely to you, to decide where to jump to. (or whatever else to do)