I'm reasonably sure this was working as I expected it to (i.e. copy a URL from the browser, paste it into a message, and it created a clickable hyperlink), but recently stopped working, such that I had to go through the extra steps of Insert / Insert Hyperlink.  Maybe an Office update changed the setting, I don't know...

Anyway, to switch it back, Tools / Options / Mail Format tab; Editor Options / Proofing / AutoCorrect options; check "Internet and network paths with hyperlinks" on the "AutoFormat As You Type" tab.  Note that the identical checkbox on the "AutoFormat" tab didn't affect this.