That is strange. I've observed the same behavior just now and it seems like it might be a bug in InfoPath. Luckily, there's hope.
Firstly, I don't think a hyperlink control is the right tool for the job here. Hyperlink controls allow form users to edit the link, but it doesn't sound like you want that. An ordinary hyperlink (you can find this on the Insert tab) allows you to specify the link text if you want it to be different from the URL, and it's compatible with all versions of InfoPath, so that's usually a better choice.
To use a hyperlink, you'll need to store the link URL in a field somewhere and specify that as the field for the hyperlink. This field can be in the main data source, or in a secondary data source if you don't want to store it in the main data source. You'll need some rules or a default value formula on the field to populate it with the right value.
Does that help?