I still don't think you've reached the root cause.
The only difference between my link and yours is that you are apply a color to the <a> tag.
If you don't want to display the reply link you can edit your templates in:
admin/emails/templates
You can remove the link from the templates and it won't show in the email sent to clients.
But im not sure what is causing the link to fail.
Because I am free to change the color size and text decoration of my links and I have no problem.
