Hi @Ilse, we are seeing the same issue in 3.3.12. That was around the time that the Data Grid had trouble parsing markdown properly, I’m really sorry about that.
The good news is that we have fixed that issue, and I confirmed that your data grid is displaying links correctly in the current version (3.5.7). Is it possible for your IT department to update the app for you and your team?
If not, using the rectangle link the way you did is probably the best workaround for this bug. Good thinking! I know that’s a lot of extra work (and I am sorry about that), but it will get the job done. 
Keep us in the loop as to whether or not you’re able to get the updated version of the app, or if you run into any other weirdness!