Did you just copy&paste the link from somewhere? PM doesn't do any encoding for you, it just uses your text to generate HTML. Depending on the source of your link, you might have to do the encoding step manually (or run it through a browser url input once). And you have to add the link HTML tags yourself, PM doesn't do that for you.

Text only:
https://example.com/Hello World
https://example.com/Hello%20World

Wrong encoding:
<a href="https://example.com/Hello World">Examle link</a>

Correct encoding:
<a href="https://example.com/Hello%20World">Example link</a>
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