Yes, that is a "best practice" and good internet hygiene is to never click on email and text message urls but the reason they like clicking on legitimate email urls is convenience and usability. A helpful email link directly lands them on the relevant website page to do whatever they need to do. That's because the email url has a long string query parameters (id, etc) that automatically navigates to the correct webpage.

On the other hand, to do it the "best practice" way, it requires clicking around a confusing website menus and drilling several layers deep to find whatever issue the email is talking about.

A helpful email url link bypasses the hassle of learning whatever flavor-of-the-month confusing UI the website designer happened to to use.

Hang around old people and watch over the shoulder how they use computers and you become sympathetic to how the make it work for them.

E.g. An order status email has a URL link of a UPS tracking number to monitor shipping status. But don't click on that! Instead, copy the 1Z... number to the buffer. Then open a web browser and type in the ups.com url. Then paste the number into the text box. Those copy&paste mechanics not too difficult on desktop (Ctrl+C Ctrl-V) but it is much more difficult on mobile phones (double taps or long press and hold).

That was a simple example. The more complicated one is email from health and medical companies with confusing websites. They'd rather just click on the email url.