I just discovered this functionality thanks to another topic asking about it. It is GREAT !
I tested a little to see how it works. It’s a bit complicated 
It seems you have to enter the URL first into the title. You can’t write anything else, and then want to add an URL (but you can enter the URL and then write something else, even before the URL). [EDIT: Only for a NEW post. You can’t edit an existing title]
The way you have to enter it is also a bit tricky: You have to write http:// or https://, and after that, write the complete URL without pausing for too long But you have to pause just after having written it (even adding a single space after, without having paused, will make that it doesn’t work).
The way I understand it is that http(s):// has to be detected at the very beginning of the title, and it will take what has been entered after it, as soon as there is a small pause (That’s it. This is the URL, and it can’t be changed afterwards. Not now. Not ever. It can only be removed later. If there is any space in what you entered, discourse won’t do anything and treat what you entered as a “classic” title. The link seems to be checked when validating the post: If there is no dot present, it will say it’s invalid. Copy/pasting works, with all he same parameters: You have to paste ONLY the URL; at the very beginning; no space. You can add what you want, AFTER that)
To remove it, you have to click the edit icon above, near the title. The edit function under the post don’t propose to remove the link.
So, as said, all this is a little tricky when you don’t know, but it’s still great.