I believe detecting the phishing site thing with hovering of the mouse on a link will work on PCs and desktops, not on phones; at least not on android phones.
Click and hold the link, your phone should display a menu similar to when you right-click on a link on a PC. On the top you will see the link, and among the options, you can copy the address and then paste it in your address bar in a new tab. There, it's easy to check where it goes.
I think pm also support hyperlink so be careful with the links provided in pm.
Yes, you can customize and code a message via PM like any other post on Bitcointalk. Hyperlinks, images, and everything else works just fine.