I’m on WP 4.9.4 and having the same problem. Create the link in the edit mode for the post then publish, then go to the website and the text does not contain a link. This happens no matter whether I create the post while I’m on Opera, Chrome, or Fire Fox. However, if I enter the link on a page then go to the website the link works. So it seems limited to creating or publishing a post and not to the browser