The text formatting in xfce4-notifyd is based on what Pango supports. As a widget, it uses a GtkLabel. This adds support for the hyperlink tag.

Corresponding bugreport
To suppress logcheck from reporting these log lines, put the following in /etc/logcheck/ignore.d.workspace/xfce4-notifyd (creating it if necessary):

^\w{3} [ :0-9]{11} [._[:alnum:]-]+ xfce4-notifyd\[[0-9]+\]: Failed to set text '.+' from markup due to error parsing markup: .+$