Jochen,
I can't quite understand what you have done, or what it is you want. I'll tell you what I think you might have done, and you can tell me if I am correct.
I copied a link from Safari into an action note in OmniFocus. This gave me a string like
http://www.cnn.com which when clicked opens my browser and takes me to that page.
Next, I clicked just before the link, and shift-clicked at the other end of the link, and did Edit->Copy to copy it to the clipboard. I then pasted into OmniGraffle by clicking on the canvas and doing Edit->Paste, and I also tried pasting into the outline. Sometimes when pasting into the outline I would get underlined text, but mostly not. When I did get underlined text, bringing up the text font chooser (cmd-T) and selecting the "None" choice for Text Underline (the left-most choice along the top row) removed the underline styling. In no case did I have an active link after pasting into OmniGraffle.
Is this what you wanted to do? If not, perhaps a more detailed description of what you are doing might help.