Do as I say, not as I do.
Hardly. The company shouldn't have XSRF-vulnerable software, if your browser is vulnerable you have bigger problems and what you actually shouldn't do is enter your credentials or download stuff after clicking on that link.
But of course there's an internal "phising test" that penalizes you for clicking on links... links that have been obfuscated by some email-modifying link-tracking security software that makes it nearly impossible to figure out to which domain the link even goes.
Then why even click on it in the first place (and risk your email address getting flagged as active in some illicit database?)
Generally clicking on the link is not what gets you compromised (except for some spearphishing involving zero-days...). It's actions following that which might. So they're barking up the wrong tree and penalize people for that. That's just chicanery.
Then the goddamn CEO sends out an empty email, with a .docx attachment, and the subject saying "urgent, open immediately" The HR sends out suspicious looking shit all the time. The. You have Microsoft spamming you with fucking QR codes!!!
You know what needs to happen? Disable all hyperlinks in email. Make everybody copy and paste the goddamn thing. Then they have to look at the link and they have to manually paste it into the browser. Then there are no obfuscated links. Also disable HTML email, images, and most file attachments. Then there is no pixel tracking, no possibility for malicious images to be auto-loaded, and no excuse for clicking a bad link.
Three guesses on how you log in to the service.