Because that's not what most people expect in buffers visiting plain
text, or even code. For example, you would certainly not want to click
the "URL" in this:
BTW, I see no great harm in highlighting this. It indicates that it's an url and helps to see the code constructs an url, and if someone browses C code and sees sprintf then he obviously knows what sprintf does, so he'll know the url won't work without parameter substitution anyway.
If the link is clicked then you get a 404 page for a non existent color, so it's just a broken link, nothing tragic.