I’m having the same problem, have tried markdown explicitly but it didn’t solve it.
Odder still: the URLs are stripped from the links on the ChatGPT Web site, but NOT on the mobile app.
Even odder: When you ask the GPTs about this the url-stripping is invisible to them, they think the links are properly formatted. Apparently this has happened off and on over past month according to this thread:
My wild guess = OpenAI is stripping the URLs for security reasons, to circumvent some sort of attack – and doing it at a presentation layer invisible to the GPTs. But this is hobbling very fundamental functionality… And at some level the GPTs are literally looking at a different version of content and code than the developers working with them are!
If anyone figures out a workaround – or if I’m somehow misinterpreting this – please let me know.