Hello,
This is a known limitation in Microsoft Forms. You generally cannot insert a hyperlink into the main Title of a question, nor can you mask the link with text (like "Click Here"). It doesn't support rich text formatting like that.
To solve this, you need to use the Subtitle field. Click on the question you want to add the link to, click the three dots at the bottom right of the question box, select Subtitle and paste the full URL (including the https part) into that new Subtitle text box.
Note that the link often won't look clickable while you are editing the form. Click the Preview button at the top to test it, it should become clickable there.