Further to my previous post about this and Mandy's query - this issue has now been fixed. If you come across any examples of URLs not working in unregistered user comments, let me know.
At a request from Mandy I'm looking into why the websites some unregistered users are adding when they comment aren't redirecting properly when clicked. So far it's the URLs of two Kent School websites which are not displaying.
If anyone else has examples of this issue in action let me know - it may help!