First, I have to say, the template being used one the WMA site is a custom template based on the cMap template that they had contracted a dev to create for them. So there is not a template that can do this out of the box. If you’d like to have a custom template created for you too, I can get you in touch with a dev that has a lot of experience working with Connections and it’s templates.
To allow users to add their own entry in Connections, you need the Link extension.
Did you go to the Connections : Settings admin page, the General tab, and set the page where you added the Connections shortcode?
Non-clickable links… I only really ever see this when there is random HTML tags in or around the shortcode which breaks it. See the top couple paragraphs in this FAQ. You may have the
<pre> maybe even
<a> tags. If you do remove them all.
Hope that helps! Let me know.