+1 I was surprised to find that this was not available “natively”. I’m well accustomed to this behaviour from other apps I use often.
This has been driving me crazy for years. I love how github handles this automatically.
The plugin already mentioned a few times in this thread seems to handle it well. By default it set its command (Paste URL into selection) to use Ctrl+Alt+V, and it breaks normal pasting if you change it to Ctrl+V
This feature is already working as described due to an existing plugin. This works on my personal Obsidian installation at home and has for a couple of years now. I thought it was a default feature of Obsidian until I saw this thread.
I don’t know which plugin is adding this functionality, but I don’t think I have the above mentioned plugin installed and it’s working for all uses of copy/paste actions.
I’m going ahead and posting this so I can find my way back to this thread to update later.
This is still something I think should be part of the default functionality.
There are plugins that can do it (e.g. Paste Links), but as plugins are completely unchecked 3rd party code, such frequent and basic thing should not require their use.
By the way, this forum does exactly the thing. 
In version 1.11.x, pasting a URL (Cmd/Ctrl-V) into a selected text will create a markdown link. No ETAs.