Hi @bkrutiy
The validation pop up appears to strip formatting out of the “styles” and apply the AdaptiveWork CSS for the a:visited class (if you inspect the page you can see this stripped from the link, and the a:visited CSS ).
One option is to use a <span> class to wrap around the link. This worked in my testing and underlined the link.

I used this in the Validation message:
You need to <span style="text-decoration: underline; color: #008489"><a href={GetCustomActionURL('Change start', GetRuntimeParameter(CurrentObject()))}>Update Closure Notes</a></span>
You could also target the CSS for the pop up window and update the a: CSS attributes - this would impact all links in popups and would need some testing,
One follow up - you mentioned that the text appeared as plain text; by default the link should appear in a teal colour in the pop up - if you don’t see this there may be some addiitonal CSS overwriting this somewhere. See standard screenshot below:
