Joplin has two ways of editing. One is the "Markdown editor" where you have two panes; one with the markdown code and one showing the rendered view. The other is the "Rich-Text Editor" where you edit and display the rendered note in the one window (WYSIWYG).
According to this post, if you are using the rich-text editor you activate the link by pressing CMD and left-clicking it (CTRL left-click on Windows).