Hyperlinks in your PDFs are only supported in the Premium (and Premium Secure) version of the plugin, so please make sure you are definitely using one of those versions.
If your links are all displayed as URLs e.g. http://mysite.com/... in the PDF text, then the most likely explanation is that the links in your document aren't 'real links' according to the PDF format.
I know that sounds daft given that some viewer software still converts them to working links, but they do that by guessing because it starts with 'www' or 'http' etc. As far as I understand, the PDF specification doesn't suggest that behavior so you'll find that it needs to be a real link in some viewers (including ours). At the moment, the URL is technically just some text rather than a working hyperlink.
What software you are using to create the PDF? Does the hyperlink work in that software before it's exported as a PDF?
Please get in touch, sending a copy of the broken PDF: email@example.com.
Users of Microsoft Word: this MS Office software seems to have problems exporting hyperlinks correctly in PDFs. If you believe that you have created proper hyperlinks in your Word document, but they just don't seem to be appearing in the exported PDF, please try the following workaround. In Word, don't accept the default save as 'Word Document (*.docx)' - instead save the file as a 'Word 97-2003 Document (*.doc)' initially, and then select File > Export as PDF (*.pdf)'. This method also works for Excel Spreadsheets (.xls) and PowerPoint (.ppt). On Mac OS, use the Pages App to export the .doc file, then use the Save as PDF and select the "Electronic Distribution" option instead of the "Best for Printing" option.