I played around and the only way to talk Prime into preserving links (apart from saving in its native format) is to let it export the file in Richt Text format, as Terry already wrote. Even local links (jumps to tagged regions inside the file) are preserved that way.
I tried to open the rtf file in Libre Office Writer and used its export function, but the links were gone.
When I opened the rtf in Word and exported the file as xps/pdf, local links were gone, but external links worked as expected. So this may be an option for you.
