Got really puzzled about this thing. Fortunately Christian Norbakk had the explanation of the problem:
When using Reporting Services in Sharepoint Integrated mode a Placeholder with Go to URL action will not render as a hyperlink for VALID internal links. It will, however, work for external links and for INVALID internal links. Now if that's not a but I don't know anything anymore:-)
Notice that the links work in Visual Studio Preview mode for the report. It's only after you deploy the report that all valid internal links are stripped.
Nag me in comments if I forget to update this post with how it went..