Why or what would Reader possible do to effect this behaviour. With adobe installed and the default PDF association set to EDGE or another PDF viewer this behaviour of not working remains. The only fix to get the hyperlink to work directly from the office App is to uninstall Adobe Reader.
Is there a BUG that I need to install a hotfix for ??
I have notice the exact same issue, and have just spent several hours on the phone with microsoft in an attempt to find the problem. In the end microsoft could do nothing and stated that this appeared to be a Adobe Reader issue as when the software was removed everything worked well. When the software was reinstalled this broke the links again.
Have tried this with several versions of Office and also Several versions of Reader DC. When DC is removed everything works. I have tried getting support from Adobe on this issue but just get that there is no support for this application.
Good Luck in getting any help from Adobe with this, my solution in the end was to remove Reader DC and just alow the browser to view the PDF's