For anyone that might still wonder. As one can see in each module description:
The Mentions module → "offers Twitter like functionality, recording all references to a user's username - using the [@username] or [@#uid] filter format" . I.e. this module is about tagging only other drupal "users".
While the Linkit module → "provides an autocomplete interface for internal and external linking in rich-text editors". I.e. this module is all about inserting a link to an already existing url, internal or external.
In comparison to the two above, this hashtag module creates a taxonomy term from any word that's preceded by a "#" sign and hyperlink the hashtaged word to the taxonomy term.