Usually the attributes of urls, such as a blue underline, is only temporarily visible. Unlike MS-Word WPTools will not apply a fixed underline mode and color to the text.

If you need this, You can apply the attributes to all linked text elements with just a few lines of code:

procedure HiglightLink(
    RTFData: TWPRTFDataCollection;
    RTFDataBlock: TWPRTFDataBlock;
    par: TParagraph;
    obj: TWPTextObj;
    param: TObject);
begin
   if (obj.ObjType=wpobjHyperlink) and obj.IsStartTag then
   begin
      RTFData.Cursor.MoveTo(obj);
      RTFData.Cursor.SelectToHere(obj.EndTag);
      RTFData.Cursor.SelectedTextAttr.IncludeStyle(afsUnderline);
      RTFData.Cursor.SelectedTextAttr.SetColor(clBlue);
   end;
end;

procedure TForm1.Button18Click(Sender: TObject);
begin
  WPRichText1.RTFData.LoopAllObj(nil, HiglightLink, nil);
end;