This is expected. Typically, the person who writes the email can decide if an link can be clicked. For example, observe how I can type out a clickable version of www.microsoft.com
and a not-clickable version of Microsoft Corporation
. The same process works in an email message -- the person who wrote it can make a link clickable or not.
But, some email programs are programmed to scan a page and detect anything that might look like a link. For example, it might search the page for the letters HTTP or WWW and automatically convert what it finds into a link. Programs such as Windows Mail and Outlook do this.
The Windows 8 Mail app does not do this, it has not been programmed to do so.
If this is a feature you'd like to see in the Windows 8 Mail app, please send your feedback and it will be taken into consideration in future versions of the app. See How to submit product suggestions or feedback