Hi,
Based on a quick experiment; Using the "Set Build Log Title" action with Title == "Handy Link". It seems it is not possible to place links in the title text.
This could be a handy feature... for example: If the SCM supports web browsing, the title could be set to "Rebuild of Change List - 12345" at the same time being a hot link to the SCM web browser linking to the relevant change list.
Cheers,
Shaun