I noticed the same problem, that seemed to happen recently. I guessing the bug is in the 2012 Live Essentials update, because that can be the only that's changed on my system.
I use Google Chrome now, on Win 7, and I had no problem cutting and pasting hyperlinks into a mail message as part of the body of a message. But it often - not always - does not work. Yes, I can use the "insert" tab and "insert hyperlink" and what ever is on the clipboard into a hyperlink. Or you can right-click, select hyperlink, and it will create a hyperlink of what ever is copied to the clip board
But this is extra steps that shouldn't be necessary. Shouldn't live mail be able to recognize a hyperlink if pasted in the body of the text like it did before. Is Microsoft looking into this. I don't see harm or risk for anyone NOT wanting a web address to be an active hyperlink, so where's the concern, and why was this removed? It's frustrating.