To me this looks like a bug in Evernote (for Mac), rather than a mystery.
I am having the exactly the same problem. And it's not only with Things (url: things:///...), but also for example with EagleFiler (x-eaglefiler://...) and other apps, which use this kind of URL schemes (not all of them though - bear://... links are pasted correctly).
If I try to make this a link in Evernote, I also get the OK button greyed out, like the OP.
If I just paste it into an Evernote note, it is not formatted as a link, thus cannot be clicked. Also exactly like the OP reports it.
In all othe