Embedding a link in Preview
Asking this again as the original question will not allow me to post a response. I've found that if you put a link in regular format - https://someURLhere.com - it will automatically link it when you use the PRINT to PDF function (Command-P, lower left corner dropdown). This is basically the last step you want to do when entering text into a PDF and you want to make entire document read-only (non-editable). It's not a true answer to the original question (being able to highlight a word in a PDF document in Preview and hyperlink it), but is an ok workaround until Apple gives us back the Command-K function in Preview. This workaround works at least in Preview v14 (Dec 2023).
MacBook Pro 15″, macOS 10.13