That's because you can't embed documents into the emails, so an image is auto-generated of the first page. Therefore the links won't work because they're not actual links in image form.
All you need to do is link to your uploaded document in the email, or copy-paste the text and links into a text block. Bear in mind however that the Library doesn't use Microsoft Word to render the documents, so bookmarks / chapters won't be possible regardless.
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