No link: To set your password, visit the following address

wp-new-user-notification.php, lines:

			$message  = sprintf( __( 'Username: %s' ), $user->user_login ) . "\r\n\r\n";
			$message .= __( 'To set your password, visit the following address:' ) . "\r\n\r\n";
			$message .= '<' . esc_url_raw( network_site_url( "wp-login.php?action=rp&key=$key&mail_key=$email_verification_sig&login=" . rawurlencode( $user->user_login ) ), 'login' ) . ">\r\n\r\n";

The characters “<” and “>” from the last line above causes that the url is not displayed.