As far as I can tell, the discussion here is still accurate for how to include a hyperlink in displayed text in a New Window to the user. None of the solutions presented are, in my opinion, intuitive, and often require hacking the UI together piece by piece just to include a hyperlink somewhere in the text.
It would be great if JMP would automatically find URLs in Text Boxes via regex and convert them to clickable links, preferably with a scriptable property on the Text Box to turn this behavior off. Alternatively, support for <a> tags when the Markup option is enabled would also work.