It may depend on what format you are using when composing the message.
Pasting a url into an HTML message works exactly as you would expect, but if you are composing in plain text, the link will not be clickable.
Go to Menu > Settings > Mail > Compose > Mail Format.
Set both options to HTML, then click on Save & Close.
Start a new message, or reply to an existing one, and paste in a url and see if there is any difference.
