Create image links in PDF
This looks to me like a shortcoming of the Word PDF export function.

You may try it with the PDFMaker macro (coming with Acrobat). If the PDFMaker macro does not get it through, there is little chance that it is recognized by any PDF exporter. In this case, the simplest way to get the link back in is to open the PDF in Acrobat, use the Link tool and add the link again.

FWIW, in Acrobat, you may also check whether the Word PDF export does really create a link over text links, or whether it is the PDF viewer recognizing some text looking like a link and make it an active link on the fly.