It's an attempt to encourage caution about external resources which could host malware, request information, or try to steal SSO tokens. Clicking on the link versus pasting it doesn't really make much difference. Sure, there's a chance that someone will recognize a URL as malicious but not bother to check the URL on a link, but I don't think it's a large subset. Most users I've seen will either check where the link goes before clicking it or cheerfully copy and paste a link to iamactivelyevil.com.
Biting the hand that feeds IT
