Unfortunately, no. I couldn't replicate your problem other than the way I described in my first post. I couldn't see any settings in Options that may cause this nor did I find anything on google that resembled your problem.
So, at this point, if it were me, I would test this one more time by creating a new smart art object and without formatting it in any way apply a hyperlink to it. If it works then I would guess that there was something in the way I formatted the Hierarchy picture that messes it up.
If the new picture doesn't work I would start to suspect something is wrong with my installation of Excel and would try the Diagnostics to see if that fixes the problem.
As a very last resort I might uninstall/reinstall excel.
If none of these worked I would go to Microsoft for some help.
Sorry I couldn't be of more help. Hang around a bit and others may show up with a solution.