Potentially disabling URLs from alphanumeric senders is a good idea, but it’s also very easy to get virtual numbers for sending SMS spam.
I think a good balance would be making URLs not clickable for any number that is not in your contacts which also makes it difficult to copy and paste for an average user.
The onus is then on providers to make sure anyone they may send links to saves the number as a contact and that they always use the same number, and have that number on their website.
So when you register for delivery notifications a message goes out saying you should save the contact number. If all Fedex notifications come from the same number the user only needs to do this once.