It is possible to add a clickable link into an InfoMessage using the "RecordToHTML" function.

Here is a Display Business Rule I am using to provide a clickable link:

var getSdesc = current.short_description;

 if (getSdesc.indexOf("created against Integration server" > -1)) {
     var ogChg = [];
     ogChg = getSdesc.toString().split('Change Request ');
     var spl = ogChg[1].split(' has been');
     var chgNum = spl[0];
 
     var chgRec = new GlideRecord ('change_request');
     chgRec.addQuery('number', chgNum);
     chgRec.query();
     if (chgRec.next()) {
         var getChgSysId = chgRec.sys_id;
         var chg2html = new RecordToHTML("change_request", getChgSysId, "${number}", true);
         gs.addInfoMessage("Click here to view the Change Request: " +chg2html.toString());
     }
 }