I just created a web link on text in Word v16.107 within an existing .docx document. I then opened that document in Pages v15.1.1 and the link was preserved as expected with no blue box surrounded that link. However, Pages is no Word clone and Apple does not guarantee how, or if, Pages will handle features unique to Word when translated into a Pages document. More about this later¹.
Since I could not duplicate your blue box with a traditional web link, that leaves the other links that Word offers, but Pages does not support in conversion:
- Links to external files
- Cross-reference links
- and probably not Word's bookmark style links to other parts of the document
Any of these three may have duped Pages into surrounding the link with a blue box. There is no Pages fix for that other than to remove that text and retype it in the hope that it also removes the blue box treatment. If it was a proper web link, then you can apply that with the Link editor in Pages.
¹ Because Pages is no Word clone, it is the wrong solution for interchanging Word documents with others who still use Word and expect native, not translated, Word documents shared with them. Eventually this becomes apparent.
