An alternative way to create the hyperlink which should get around this issue as well as being far quicker would be to simply use drag and drop as follows:
Open Windows Explorer, navigate to a folder containing the thing you want to link to (a file, document or a sub-folder).
Right click and drag to your open e-mail message - you don't have to have them open side by side, you can drag to the task bar on the message, HOLD and wait for the message window to pop to the front. (don't drop on the taskbar, this does not work)
Move to where you want the hyperlink in your message and drop.
You will be asked what you want to do, just like when you right-click drag/drop in Windows explorer to create a shortcut. One of the options is "create hyperlink" which is what you want. Job done. Wash, rinse, repeat for multiple links, or use multi-select in the first place (Ctrl+click or Shift+click)
(Aside: a normal left click drag and drop will insert attachments without prompting, and you can also do this with no email open: select documents, drag and drop to Inbox and a new email will be created for you with attachments on and with subject line already set which you can edit of course).