I think it works like this: if you copy a URL using command-C, or the Copy command from an application's Edit menu, or by choosing Copy from the contextual menu that appears if you control-click or right-click on the highlighted text, then the pasted URL in Stickies is non-clickable.
If you control-click or right-click on a URL that itself is already a clickable link, the contextual menu is different: it includes a Copy Link command (that's in Safari; similar options exist in other applications), and if you choose that command and then paste the URL into Stickies, the resulting text is a clickable link.
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dkmarsh •
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