Yes, it probably is a feature that should have been included. You could add your request here: https://indesign.uservoice.com/forums/601021-adobe-indesign-feature-requests
I know that Adobe do follow that list and work especially on requests that get a lot of votes.
Oh wait, here you are! https://indesign.uservoice.com/forums/601021-adobe-indesign-feature-requests/suggestions/38815231-hyperlink-in-data-merge
So the main point is that rather than have a text link (which is clickable in a PDF), you’d like to have that turned into a button? Could you not just add a thick underline to the hyperlink to make it look like a button?