Try selecting the entire Hyperlink field.
Then set the proofing for that to "Do not check spelling or grammar."
This is not a general system or document setting, it is for selected text.
You can get to the proofing language setting for the selection by clicking on the language in the Status bar or by going to Language > Proofing Language on the Review tab.

Note, I do not have a Mac.

You can create and use a character style with this setting if you want.
Creating "No proofing" styles in Microsoft Word - No Spell Check character style and Code paragraph style - keep text from being checked for spelling or grammar


I had not heard of this happening before and have been monitoring Word help pages for more than twenty-five years. It may be a bug. I recommend sending feedback to Microsoft about it. (They will not see anything you post here.)
This is a user-to-user support forum. -- You can give feedback TO MICROSOFT designers and decision makers on Microsoft Word or other Microsoft Products (using their feedback mechanisms, not here)