Adding a URL to JUnit output will automatically hyperlink in the page for the individual test (see https://issues.jenkins-ci.org/browse/JENKINS-3225 ). However, it does not get linked for the Test Report page when expanding the failure.
Steps to reproduce:
Create a Freestyle job with url.xml in the workspace
In the build steps, touch url.xml
In Post-Build Actions, add Publish JUnit test result report with Test Result XMLs as *.xml