Hmm, I don't usuallly work with Word or RTF documents. However when I do, I almost always save them as "Web Page (Filtered)" and import the HTML file into Calibre.
I'm not sure about the links-if they work in the outputted HTNL, they should work in the calibre converted ePub file.
If they don't work you may need to edit the HTML file yourself and add the links manually.
Hope this helps any.
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