Seems I encountered this same situation a few years back. (scratches head and thinks)
I think I was able to overcome this as follows:
Use a HTML Help Shortcut control. Insert the mailto command in the shortcut.
Perhaps you don't wish to see a button the user clicks. In that case you may script the control. Just make it Hidden when you insert it.
Then you use the normal Hyperlink dialog to "click" the control.
Hopefully this helps... Rick
Question : if the mailto link is in a sentence and should appear as text, how does one make that work with a hidden script?
I'm guessing you failed to observe what was actually typed into the field of the Hyperlink dialog in the third image?
I suppose I could have been more explicit in my earlier instructions. Sorry about that.