Telegram Desktop, which uses Qt, has this weird issue only on Linux/Wayland (Windows and Mac are not affected, nor is Linux with X11):

Usually when you move the mouse cursor over a link, the mouse cursor becomes a pointing hand, consistently with the universal convention across all applications, OSes and platforms. So far so good.

If the link in a Telegram chat wraps across a line break, then when you hover over it, a tooltip shows up (with a short delay) with the entire URL in one line (I'm not sure whether this is something that Telegram Desktop chooses to do, or if it comes from Qt itself), and when this happens, the mouse cursor goes back to an arrow, which is wrong as the cursor is still sitting on a clickable link.

I reported it to Telegram Desktop: https://github.com/telegramdesktop/tdesktop/issues/29631
and they say that this is an issue in Qt, specific to Wayland.
It is indeed specific to Wayland.
I wouldn't normally believe them when they blame Qt, as they usually start from the assumption that any bug in their app is not their fault before they even look into it, and they've often been wrong, but in this case it does seem very likely, because this only happens with Wayland. It seems very unlikely that a bug like this in the application itself would affect only Wayland.