I couldn't find any code to do so on Growl's documentation (which IMO is pretty terrible), nor in the Perl libraries on CPAN. The most recently updated Perl module, Growl::GNTP doesn't show any code snippet that would enable custom displays, which is apparently how formatting links should be done.
I know though that it's possible to include hyperlinks in Growl notifications, despite what some say.
Perl or PHP code preferred.
Are you specifically targeting Growl on Windows, or just generic GNTP? It doesn't really matter though since the sending app can't specify the display - that is up to the receiver (user). The link you provided to that soapi notifier is using its own custom display style, which the user would then have to set as their preferred display (at least for that notification type). When you write a custom display, you can include links or anything you want. On Windows, custom displays have to be written in .NET and on OSX, they can be either Obj-C or html.