When you copy a risky message with Copy text, you see "Copied. Links were made unclickable because this message looks risky." Links are changed slightly (https://example.com becomes hxxps://example[.]com), so pasting the text into another app, a chat or an e-mail can't turn them into tappable links by accident.
This is the usual safe way to share scam texts, for example with your bank or the police. The text stays readable.
Messages without risk are copied unchanged.
To copy one link on purpose, use Copy link in the link preview; the app reminds you to be careful where you paste it.