When setting up links in a report these should be reported in Excel export. Excel is by far the most common format used by our users and the previous reporting options had links which many users said were a great feature, as it made the reports an extension of the system rather than just an excel file.
Many reports are used for exception reporting, and being able to click on the link of the order or product in the report to take the user directly to that order or product in the system is a hige timesaving feature.