This happens on Windows Phone 7.5 and Windows Phone 8 as well now.
It used to not happen (to my knowledge).
But what I see is that the link will work if another Windows Phone device is the recipient, but almost no other client gets a clickable link.
Not Hotmail / Outlook.com, Windows Live Mail client, Outlook 2013, or Windows Mail in Windows 8.
If I "Share Page" from IE within Windows Phone 8 to a Gmail account as the target, it's the same result.
However, Gmail at least does the "courtesy" of scanning the email (probably for advertising purposes), and converting it to a clickable link.
Oh, in fact, yes... there is nothing in my entire Gmail inbox that pertains to the link I sent myself, and now I have an ad from Google about the link that's in the email.
If there is a setting to tap, I don't know it.
I've tried adding a space after the link, hitting a "return" after the link, etc. to trick the link into being clickable, and nothing works.
I think it is something to do with the email client or the server formatting the message improperly (like stripping / forgetting to add the URL metadata).
It's totally broken.