It does not work in the preview, but works in the actual email message. I just sent one today. The text I entered was something like this:
Download the PowerPoint file, go to https://www/xxxx.com/web_page.html
You don't need to encode it, just insert the full web address. If the receiver's email app can read html messages (most people can), then it shows up as a clickable web link.
This doesn't work for Outlook 365, which is probably one of the most used business e-mails out there....
Why not make it possible to specify a hyperlink using Markdown or HTML?