You can create a character style for the hyperlinked text but will need to apply it yourself it won't happen autromatically.
Ofcourse if you make them all another color instead of blue you will have single handedly confused all the users who have come to associate blue underlined text to mean they are hyperlinks and not just colored underline text.
I figured it out.
Select one instance of the hyperlink, and define it as a character style in the styles drawer.
Then create the preferred style you want to use for hyperlinks and save it to character styles.
You can select every instance of the original link style, and replace with the preferred style.
Hopefully I've explained this adequately.