This is really weird. I just sent a PM with the link to this board, forum.pittersplace.com. Well when I sent the message, the link wasn't there! I tried again, using preview before sending this time, and sure enough, it just automatically strips out forum.pittersplace.com. However, it allows http://www.pittersplace.com just fine!
*Edit* After further testing, it appears that it strips the tag whenever it thinks that the url inside is invalid. So it needs to either start with http, or www. How weird. And it looks like this forum is doing something similar; the [url]forum.pittersplace.com isn't turning into a link because it think that it's not a valid url inside.