This is a few years old but still a current topic as adobe did NOTHING to improve this. I stumbled upon this post with the same question. And a found a solution (that works, well for us): Watch this: https://www.youtube.com/watch?v=MAuQ3KsTJck
This is MyDataMerge, an external application for managing data merge in InDesign made by 3 guys. They added so many features to the datamerge including hyperlinks. Why can’t you, Adobe?