should work fine... but that will be any hyperlink in the editor box.
Simply typing in https://doman.com/link in the text editor will not change color until the BBcode is processed, you have to use the link button.
You can also go to ACP -> Appearance -> Style Properties -> Messages -> Message Link and do it there.
Yep... apparently it is style specific. Once I checked the default XF style I didn't see it. I try to usually give both methods, but need to remember to check in a default style instead of my site default one.