The problem is not actually a limitation of Word. It is a behaviour of the autoformat function in Word.

When you paste or type a string and Word recognises it as a valid URL, it automatically converts the string to a hyperlink (if your autoformat setting is turned on). This autoformat setting analyses strings of text and kicks in with a check when you add a space - therefore things after a space are not considered part of the preceding url.

But you can select any text which includes spaces and press Ctrl-K to open the insert hyperlink dialog and set that selection as a hyperlink.

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Andrew Lockton
Chrysalis Design, Melbourne Australia