If you hit Forward or Reply, you may not be able to click the unsubscribe link (or any other).
Try right-clicking the link, copying the link location, and pasting into your monitor.
It may also be a ‘blocked address’ setting in your Exchange Server’s policy. You may have to “View in HTML” for links to work. Finally, float your pointer over the link for a moment or two and see whether something like “CTRL+Click to follow this link” appears.
Post the answer that works for you.