Fix the link to the URL in some reports

Fix the link to the URL in some reports

Some URL are stripped of the scheme while others are not. Yet they were
all printed using the same function that prefixed a http:// in front of
the URL even if the original scheme was stil present.

To make the links clickable without error in the report, the scheme may
be provided by the caller when it requests the printing of the URL in a
HTTM link.

The affected reports were the authentication failures, the denied
accesses and the downloaded files.

Thanks to budsz for reporting this problem.