For some reasons we have not yet added it ability to insert links to the Confirmation Message and but there is a trick...
What you can do is to create the message you want (with link and formatting) in a Formatted Text element in the Design Tab. Then copy and paste the text in the Formatted Text element into the Confirmation Message box.
You can add a link in the Formatted Text by selecting the text for the link then either "Right Click > Insert Link..." or via the Menu "Insert > Link..."
Don't forget to delete the Formatted Text in your form once you are done.
Hope this helps