If you're trying to link from a text object, please keep in mind that the link will not be associated with the entire currently selected text object. Try this: After selecting the text object you want to link from, make sure to actually highlight the complete text within the active object (or just the word/phrase you want to link from) and then create your link via the Properties/Linking option. This approach will work and create a functional link associated with a text object.
You may have created it, but just not realised. Unlike other website programs, Website Maker does not appear to hyperlink any links that you add. However, when you hover the mouse over, the pointer does change from an arrow to a hand, indicating a link is embedded. To make this clearer for viewers of my website, as well as setting up the link, I also change the text colour to blue and add an underline, to comply with the general appearance of links within a webpage.