Forum Discussion
Office 365 ATP Safe Links do not block URL in Word Online
I do know that the ability to use Safe Links with Office Online was planned to be introduced in October 2019 originally. If you hover over the option today in the Security and Compliance Center though - interestingly it makes no reference to Office Online.
I would recommend opening a support ticket with Microsoft to see what they have to say on this issue.
Sharing the response I got from Microsoft Support. Feature is still in roll out.
Do you have any recommendations to protect URL in Office Online?
I would say that not a great deal can be done until such time that Microsoft roll this out. What you could maybe do in the meantime is use Conditional Access to require your users to use an approved client app in the meantime, and not Office Online.