Overview page (the MAIN PAGE of each artist) doesn't show external links active - that sucks deeply. Only way to use external links is to go to Biography. This should be fixed soon. Overview page is the most used, and that's why the links are much more important there than only in Bio.
There seems to be an exception to that rule :-) If links refer to internal last.fm pages (like links to tags, or to albums, or even to other artists, but still on last.fm), they are visible on the overview page of that artist. For instance this artist: http://www.last.fm/music/Guns+N%27+Roses And there are plenty of others like that. Okay, perhaps these are not considered "external" links though.