A family of Microsoft word processing software products for creating web, email, and print documents.
Actually, there is a way to generate PDF files including hyperlinks with Word 2016 for Mac :
1 - Insert hyperlinks in your document,
2 - Go to "Save as...", choose PDF and check the box "Best for electronic distribution and accessibility" instead of "Best for printing",
3 - Save. It will take a while as it uses Microsoft online services but then the generated PDF file includes hyperlinks!
Hope it will be useful to someone.