I searched through the settings and cannot find a means to turn on this security option.
Currently the only thing the reader does is open them in a new browser window.
What security option?
Also, Reader cannot add security of any kind to a document. For that you need the full version of Acrobat.
That is the question, and issue.
As a user of the reader, I get annoyed by scammers that embed the scareware link in a PDF and the only means to reporting it to malware is by clicking the link and permitted it to open in your browser. You cannot even get the link from the dialog that pops up because of the textout method used to display the hyperlink, it's an image.
Right click - copy hyperlink is not available.
When you move the mouse over the link you can read the hyperlink.
so you can easily read the following hyperlink and remember it?
This not a valid hyperlink.
I agree with you, it should be possible to right click and copy hyperlink addresses in Reader. If you use Google Chrome to open your PDF file instead of Adobe, that feature is available to you.
Use Adobe Acrobat, not Acrobat Reader.
To make Bernd's answer more generic - do not use Acrobat Reader for reading pdf files.
Adobe Acrobat just for reading documents is unnecessary overkill.
The right click option to "Copy Link" is only available in Acrobat. Adobe Reader doesn't have this option, currently
You may file a feature request and help us with your comments. How this feature is important to your workflow: Adobe Acrobat Reader - Feature Request/Bug Report Form
Adobe Acrobat DC:
A better alternative available to the significantly larger percentage of Acrobat Reader users is to save the file to a folder on your system (presuming it was sent to you via email), right click on it, and select "Open With" and choose Chrome (caveat, you need Chrome installed on your system of course!.)
The Chrome display engine permits copying the link when you right click on the linked text. This is MUCH safer than clicking a suspect link and trying to capture it from a browser address bar (which often can't be done anyway.)