WhatsApp announced the links detection feature for status in a recent blog post on Wabetainfo.
WhatsApp is rolling out the feature for the Google Play Beta Program upcoming version, but some beta users may be able to see it in a different version.
In the screenshot below, it is seen that the previous build did not allow within-caption links to open because the links were not detected by WhatsApp. It was not a bug as WhatsApp did not support links included in a caption of status updates.
With the new feature by WhatsApp, comes an issue with notifications which is said to be fixed with a bug-fix update soon.