SYMPTOM:
In Strategy Web 9.3.x and 9.4.x, the hyperlink to drill disappears when applying a Custom sort on a grid.
STEPS TO REPRODUCE:
1 - In the Strategy Tutorial Project, create a report with the Subcategory attribute and the Revenue metric.
2 - Execute the report to confirm that the hyperlink to drill appears for each attribute element:

3 - Apply a Custom Sort on the Subcategory attribute:

4 - Once the Custom sort is applied, the hyperlink to drill disappears, as shown:

CAUSE:
This is a known issue in Strategy Web 9.3.x and 9.4.x.
ACTION:
Contact the Strategy Technical Support for an update on this issue.