When using the Content Filter to "Modify clickable URLs in message", the filter is targeting and catching emails without any URLs in the body.
The Content Filter action to "Modify clickable URLs in message" will target both the text form of a URL and the hyperlinked URL found in images. So if the email being caught has an image that links to a website, this filter policy action will target it.
Verify that the content filter has the intended behavior based on the action that is set, then review the emails that are being caught to see if there is a URL in the body or an image with a hyperlink.