Being curious I did some experiments with the test.docx using Word 16.110.2. Tried the links shown above by @rkaplan to CNN and a few others.
It’s down to how the two PDF printing in Word works with https vs. http prefix.
I viewed the pdf’s in macOS Preview and PDFPen, with same results. I don’t have Adobe PDF tools to test viewing. I do conclude it’s the two methods in Word work differently with the two prefixes.
I asked Grok AI about this and the reply explained it all succinctly in the summary: “Stop using Print → Save as PDF. Switch to File > Save As → PDF → “Best for electronic distribution and accessibility”. This fixes the http vs https inconsistency for almost everyone.” Read what Grok said at https://x.com/i/grok/share/30c7f3f7163b49ca918841e5394cc665
From the Grok post I found https://support.microsoft.com/en-us/office/collab-files/save-or-convert-to-pdf-or-xps-in-office-desktop-apps which documents Microsoft’s comment: “When using Best for printing, the hyperlinks may not convert correctly. This is a known issue in Word for Mac.”