A family of Microsoft word processing software products for creating web, email, and print documents.
I have actually discovered that it is possible, and you don't need to subscribe to Office 365!
You need to generate the pdf by going to 'Save As' and choosing 'pdf' from the 'file formats' menu at the bottom.
Below 'file format' you then need to select 'Best for electronic distribution and accessibility' and that will retain all the links.
If only Microsoft would give some instructions when they issue upgrades and change things! Some hope, eh!