The text formatting in notifyd is based on what Pango supports. As the widget it uses is a GtkLabel this adds support for the hyperlink tag.
Corresponding bugreport
To suppress logcheck from reporting these log lines, put the following in /etc/logcheck/ignore.d.workspace/xfce4-notifyd (creating it if necessary):
^\w{3} [ :0-9]{11} [._[:alnum:]-]+ xfce4-notifyd\[[0-9]+\]: Failed to set text
'.+' from markup due to error parsing markup: .+$