A family of Microsoft word processing software products for creating web, email, and print documents.
I'd like to point out that the Cross-reference dialog box has the "Insert as hyperlink" option which would make one think that the x-ref would be, um, inserted as a hyperlink. Only, that is not the case.
Au contraire, it is inserted as a hyperlink. What isn't done is to apply a hyperlink Style. The two are different, though I can understand your confusion, since hyperlinks are often formatted to appear as blue, underlined, text.