It should work on WordPress.com; I see your name as a link to your blog. Note that different blogs will do this differently and some don’t facilitate the links at all. If they’re non-Wordpress blogs they might or might not have the option to put in a URL for the link.
I figured it had something to do with the website field so I filled it in. I didn’t fill in the website field in my profile previously. I thought it’d be retroactive, so that’s why I posted the question.