This is the expected behaviour. QLabel doesn't handle clicking of links. In fact Qt is unable to just "open a browser" and go to the link.
You can try this:
http://osdab.sourceforge.net/devcorner/urllabel.php
This is a QLabel, based on KURLLabel, that has a signal for when it is clicked. Note however, that you still have to handle openning of the browser yourself in the connected slot.
Here's some info regarding that:
http://www.qtcentre.org/forum/showthread.php?t=233
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