To maintain the link functionality in the embedded pdfs you should specify the import annotations option in a Formatter configuration file. Try rendering the document with the following configuration.
---- config.xml ----
<formatter-config>
<pdf-settings import-annotation-types="All" />
</formatter-config>
----
Ex:
command line: ahfcmd -d sample.fo -o output.pdf -i config.xml -x 4
gui: 'Format -> Import Option Setting' menu