The first possibility could be "Add link to PDF" check box is not selected. The second reason could be, using the virtual printer to convert files instead of using the Gaaiho add-in.
To check the settings, go to the "Gaaiho" add-in in PowerPoint and click "Settings". See if "Add link to PDF" is checked. If so, use the add-in function to convert the PowerPoint file and the hyperlinks will remain active in the PDF.
Can't find the add-in after installation?