I have been intermittently plagued by this recently, and am glad I found this issue so I know how to fix if it occurs again.
I'm not sure if the Show Status Bar setting is off by default for some profiles or something, or if maybe I've been accidentally pressing the shortcut for it without realising, but it's definitely been a source of confusion to me, and was something I just assumed was a bug because I knew that it had definitely shown links before, and just wasn't showing them sometimes (for seemingly no discernible reason).
Just my two cents, but maybe it's worth renaming the setting to something clearer like "Show Hyperlink URLs"? "Status bar" doesn't really mean anything to me, because there are lots of things that could have a status (e.g. the Console Errors Indicator could be considered part of a status bar, and that shows up in the top section).
Also, perhaps there's some way to provide stronger visual feedback when a settings shortcut is activated? The current very brief background flash of the relevant menubar heading is very easy to miss if you're not looking for it.