I had the same issue and posted about it a couple of days ago. (That’s actually how I knew about the behavior… - coincidence, coincidence.)
I compile my chapters to further work on them longhand, and since I compile/print my chapters one at a time, my links lose their look.
Here is how I now fix this:
HOW...
I created a character attribute style to mimic the look of a link (in my case just the underline - I only print B&W -, but you could include the blue font color as well, should you so wish).
Right clicking a link (a real one) automatically selects it in the editor:
Here you can see that the links’ attributes (font color and underline), are supplanting the attributes the style added to it…
…which is actually perfect.
Problem solved.
(The blue background color of the character attributes style allows you to know whether this treatment was done to a link or not. – It doesn’t compile.)
.
How it looks after compile...
. . . . . .
You can quickly apply the character attributes style to all of your links pretty fast if you use Edit / Find / Find by Formatting... like this:
It will jump from one link to the next, all the while selecting them for you, ready to apply the style off of the styles’ dropdown list or panel. 
. . . . . .
P.S. Please fix my horrible typo in the text you quoted of me.
It makes me want to scratch my eyes out. 