@centrox,
When you asked why they would do that, I take it you are asking why they would remove a url or link from a reply message...well, craigslist like most other sites would prefer to keep everyone on craigslist pages rather than having users always leaving to go to other sites.
However, the seller simply wants a transaction (regardless of what they are offering). For sellers who have websites, it is an advantage then to move the potential customer to their site and away from craigslist where there is competition and distraction.
So, do sellers have the option of sending URL links in their replies if using the craigslist messaging system?