I believe you are going to have to define what you mean by “insert link”; otherwise I think that command is called “paste”. :-)
Seriously, though, perhaps you don’t have this setting checked?
Settings (menu) -> Preferences -> MISC. -> Clickable Link Settings -> Enable
If you turn that “on”, when you create something that has the syntax of a hyperlink in your text, it should actually LOOK and ACT like a link.