Yes, I finally figured it out. I believe this is an issue in the HTML Rich Text editor Community Server is using. If you are using IE, everything with links is fine (copy / paste link creates a link), the link tool from the toolbar works.
None of this works for FireFox.
So, we will either need to change the HTML Editor (by default an open source one) with out own - and this is by the way not a bad idea, I have always thought that providers for our HTML Editors for Community Server, DNN, Sharepoint, etc is a good idea.
Or
Use IE while linking, which should be the short term solution I guess.