You create wonderful shownotes, full of relevant information with convenient links - but then look at the show in Apple Podcasts and the links are gone! Don't worry, they're not gone - you're just looking in the wrong place.
Search view versus Subscriber view
If you've navigated to a show from the search field, and opened an episode - you'll be seeing a simplified version of the shownotes.
Full URLs will be rendered as links, and clickable. Embedded, rich text format links will be broken and appear as plain text.
If you open a show from the Library section, and then go to an episode's shownotes, embedded links will be rendered and clickable.
So if you're not seeing your embedded links render, just check you haven't navigated from the search bar.