In most cases this is not a problem of the pdf2swf conversion tool and neither MegaZine3; it is because of the "intelligence" of Acrobat Reader & Co:
Those utilities interpret "URL-like" text as link, i.e. even if not marked as link in the PDF paper, they guess that something starting with http:// must be a link. And then offer it as such. But the conversion tool does not do so.
An automatism that in most cases is helpful, but also can result in confusion...
Solution: let Adobe Acrobbat (or a similar PDF Tool) do the job and convert those text snippets, that look like URL links into real links.
There are commands for that.
After that run safe the PDF files, and do the conversion again. And you'll see that the links now also will work in MegaZine3.