Thats because you continued typing immedately after the link, so it continued the formatting applied. Or you backspaced and then continued typing even if putting in a space.

You can tell because before typing as the position of the typing cursor will show what is selected - the formatting Bar would still show blue font color and underline as enabled. Suggest you enter the link then press 'Enter/Return key to ensure you start on a new line or press space and check the formatting bar options being displayed.

Format/Discontinue Link (Ctrl-Shift-K).

Thanks