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Sounds like the link/message is being tagged as potential spam. Can the user copy the link and paste it directly into IE?
Jorge R. Diaz
Microsoft MVP | Office 365
MCITP: Office 365 Administrator
Check out my Blog
To narrow down the issue, I would like to confirm some information:
1. Can the user open other links?
If the answer is "Yes", I suggest you try the method Jorge told you. Check to see if the issue persists.
2. Does this issue occur in Outlook or OWA?
If the answer is "Outlook", please refer to the article below to resolve this issue:
Hyperlinks are not working in Outlook
Please feel free to let me know if I have any misunderstanding.
I haven’t heard from you for a while. Please let me know the update on the status of this issue.