Yeah, but it’s only browsers that render hyperlinks from untrusted sources…unless you’re saying you often download random executables and then click their hyperlinks?

For http / https links the OS would open the browser for it. For other protocol browsers would not understand it.

This is not true. Browsers can and do delegate handling non HTTP URLs to the OS just like any other software. The most common ones are mailto URLs which usually launches your system's email client. And if you click on a tel URL on your phone it usually asks if you want to call the number linked to.