If I print, the link works as intended, is yellow and I can click it.
If I for instance, link the quest to my party or just "SAY", it shows as plain text:
print ("|cffffff00|Hquest:41145:110|h[Water of Life]|h|r")
SendChatMessage("|cffffff00|Hquest:41145:110|h[Water of Life]|h|r", "SAY", "Common")
The result with print() and SendChatMessage: