It works no problem from Excel, Word, Outlook, Chrome, etc (obviously it asks the user permission to run it first, which is what I want).
However, pasating the hyperlink into a chat in Teams removes the link content. So it's a hyperlink, with the correct text, but the link content is removed and replaced by "https://teams.microsoft.com/_"
Does Teams just not support custom URI schemes like all the other MS products do? Or is there some security setting somewhere I need to change?