When a URL is included in the text of a tTMSFNCHTMLText, the user cannot click the link to open the URL. For example, I created a new app, put a tTMSFNCHTMLText on the form and set the text to the example in your manual:
This is a test
The link shows up in the URL color and is underlined as it should be, but clicking on it has no effect, nor does it call the OnAnchorClick event.
I've tried this under both Windows 10 and OSX