The only way I've been able to add the a hyperlink is to switch to HTML mode, locate where I want to add the link and drag in the hyperlink option from the HTML elements tab. If course you can also do it manually. If you drag it in from the Design page it is difficult to edit the link without breaking it. The Web Link Formatter, I believe, is an option if you have variable data that contains a hyperlink already. If you switch to some of the other options you can see how the options change. For example, the number formatter only shows the variables that would have numbers in them rather than text.
One option, if you don't want to edit via source, might be to create a variable in advance of the send email component which contains the URL string and then use that in the email. Just a thought.