Ask HN: How do you make URLs in your profile become links?
It implies that they should: "Urls become links, except in the text field of a submission."
http://news.ycombinator.com/formatdoc
http://news.ycombinator.com/formatdoc
Years ago, urls in profiles were indeed clickable. Then pg said that they were being abused by spammers, so he removed that feature.
It used to be that, if you hadn't edited your profile from before pg made the change, then your old links would remain clickable. But looking around, I see that is no longer true. So that feature is now completely gone for everybody.
URLs in comments become links.
I think the document you reference is talking about submissions and comments.
But it's also the "help" link that is provided when you edit the about section in your profile.