I can cut and paste from that Word document into the signature dialog in Outlook 2010 and it retains the links correctly. I can set this up and it remains in place in a Word document in a Windows 7/ Office 2010 environment. these are valid weblinks (and are supported in Word 2010 for Windows) It would seem there is only a problem when using non-usual links like skype:// or callto://.
If I use a traditional hyperlink (eg or then it works fine both ways.