Hyperlink support is not a function of the authoring software - it's a function of the DVD player software. The player must be able to receive some sort of cue from the DVD, interpret that cue and then launch the appropriate application based on the cue.
All eDVD does is create a cue sheet based on chapter information on the DVD (along with your instructions about what to do when a given chapter is encountered). Then the interActive player (also provided on the DVD) reads the cue sheet and as it plays the DVD performs the appropriate action. Play the DVD with WinDVD or PowerDVD and none of this works because those players don't understand the cue sheet.
With BD and iHD and standalone players connected to the internet, you'll probably be able to provide a lot more web oriented functionality.
I believe both WinDVD & PowerDVD will also retrieve Hyperlinks. You have to enable it in the options. But you still need the InterActive player because WinDVD & PowerDVD both use its engine to retrieve the links.
DVDA4 should be more like DVDSP4 in this regard. You can add hyperlinks while authoring in it.
eDVD is the only program I'm aware of on the PC side that will allow you to add any type of Links.
When you open it... it's all Flash. If you Right-Click... it shows you its Flash properties.
eDVD's pretty cool.
I wish there was some way to encorporate it directly into DVDA. Now that would be cool. (Actually, I just wish there was a way to 'Link' in DVDA.)