For some reason, some links acquire such a class in messages. Why is this happening?

Its simply something required for how the theme is built up. Is there a specific reason you ask? Are you having issues somewhere?

Yes, the user inserted the link and it is not clickable - there is no href tag.

They've posted a link that you've chosen not to allow through link filtering. - AdminCP > System > Settings > Posting > Links & Email Addresses.

Yes, you're right. I forgot about this list 🙂 Thanks!

Glad you got what you needed there 🙂