When i post comments in sumone else's blog i add my site's url.... But i find that the url does not show up as a url.. its just like any normal text!
Its to stop people attempting to do what you are doing. Get incoming links to your site, purely for ranking. If you make good comments in blogs, people will follow your link anyway.
if you don't see other blogger leave url on their comment it could mean that the blog owner doesn't want it. so just put the url on the place where it is already allowed. that should be enough for backlink.
either you are not using the right code "ubb, html" or as said previously it's most like a link spamming guard. and a good thing too imo.