It didn't occur to me that this might be a bug . I just thought this was a restriction of Evernote's editor.
I'm on Yosemite 10.10.5 as well. I'm using version EN 6.2.
File links copy and paste fine between notes within Evernote.
I can copy rich text with a file link from other apps and paste into some other app just fine (So far, I've tested TextEdit, Word, and Airmail). I've also tried copying rich text with file links to the clipboard from the Terminal using textutil and pbcopy - pasting this works fine in those other apps. I can even copy rich text with a file link from Evernote and paste it into those other apps, and the links work.
But the reverse does not. For kicks, I tried replacing the "file://" protocol prefix with "http://", and then the hyperlinked text pasted fine into Evernote (though, obviously it did not go anywhere - but it did try!). If you export the note as html, you can definitely see that EN is stripping the "<a ...></a>" tags when the link points to a file, but not when it points to an http link.
I mostly use TextEdit to format rich text that I paste into other apps, including EN. I've noticed that Evernote doesn't always preserve the indenting for ordered lists when I copy them over either (though this doesn't always work in Word, either, and is less of a concern from me than the stripped links).
Should I report this as a bug? Is it one?