I used in many projects my own custom message box for notifications and error reporting, found using TMemo is way better than TLabel as it allow copying the content, even though it does copy the content by CTRL+C, but to allow to the end user to select and copy the content is nice feature, and when links/actions are needed, by that i mean either opening a WWW hyper link or a local folder link or an action in the application, i used THtmlPanel from Delphi
HTML library, and when it is not possible due the request of the client (no license) i replace the THtmlPanel with TRichEdit.