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I believe we discussed it in this thread Making links clickable in Tooltip
Tableau can only read those values as string values, for Tableau to understand that they are URLs you can only use actions to tell Tableau this. Tableau isn't the same as excel in this way, so there'll be a need to use URL actions to make this work. You can use the 'select' dashboard action option if you want a similar effect to what excel does.
Thanks for your explanation!