The font or typeface you are using in that paragraph where you're trying to make a hyperlink is a system font and not a a "Web Safe Font" or a supported Tyepkit font.
Unless you use a Web Safe font or install a Muse supported TypeKit font when designing or laying out your web page - Muse will turn these words into images to preserve their appearance ( since not everyone else has that font that you like as above, installed on their computer ) and since they have been turned into images, they can't be used to make hyperlinks.
Web Safe Fonts:
Typekit Fonts supported for Muse
You're very welcome! Glad I could help. :^)