Okay ... brand new document. (Using ID 2015 on Windows 7.) Create a text frame, and in it, type a particular URL. Then COPY that text frame, so you have two IDENTICAL text frames. If you select the text and right-click one of them, the context menu that opens includes "Hyperlink" among its options. Then select the text and right-click on the other one, and "Hyperlink" is NOT among the options. I'd love to hear any theories on how this could be possible.
See my reply to your other question about restoring preferences.