Yeah, that “paste into blank line” method is what I typically do for most things, where I wish to paste formatting (though the ⌥⌘0 shortcut to clear paragraph and character formatting has mitigated the need for that older approach).
One odd thing about your description though is that with purely Scrivener (or really macOS to be technical) generated hyperlink recognition, the formatting should not continue like bold or italic formatting would. It is in fact not formatting in the traditional sense, but a dynamic overlay that works more like syntax highlighting would, in a coding editor.
Maybe the source of your links is the culprit? If the source is adding deliberate blue and underline formatting to the text on top of being a hyperlink, then it would be logical for Scrivener to continue that formatting normally, just as it would with bold text or anything else along those lines.
To confirm, try pasting the URL itself as plain-text into the editor, letting the editor recognise it, and then continuing to type off of it. You may even notice the whole URL “breaks” if you type without spaces.