This is not true on Chrome (at least on Linux). If you copy from the address bar it will paste into Dynalist as markdown. It might be that Chrome has now made their links “unclean” and they could technically be blamed, but I think the solution is not to paste markdown.
There is a duplicate issue where people are continuing to express frustration with this: URLs recently started pasting as full markdown with the url cloned in the title area too
IMO this bug should be re-opened because pasting a markdown link from a browser address bar is worse than failing to paste markdown if you copy a clickable link.