In the documentation of pdfpages you find on page 2:
Links and other interactive features of PDF documents
When including pages of a PDF only the so called content stream of these pages is copied but no links. Up to now there are no TeX-engines (pdfTeX, XeTeX, . . . ) available that can copy links or other interactive features of a PDF document, too
Thus, all kinds of links(1) will get lost during inclusion.
(1) Actually not only links but all kinds of PDF annotations will get lost.
So the feature you need is not supported.
The documentation continues with:
However, there’s a glimmer of hope. Some links may be extracted and later
reinserted by a package called pax which can be downloaded from CTAN . Have
a look at it!
You find the pax-packages on CTAN. It is (November 2016) in status experimental and the last update was 2011. (I haven't tried it myself).