It would really be neat if Mumble supported the Steam Browser Protocol (as documented here: https://developer.valvesoftware.com/wiki/Steam_browser_protocol )
Steam URIs are white-listed since 2010 1ef46ba05558fb2093174b51b2dfffe1303a7339
It should thus be in since version 1.2.3 already.
This feature has been implemented and pushed to our repository.
You can either self-compile or wait for the next Snapshot to try it.
I just tried as well, with 1.2.3-495
Works as quick-chat, which is linked, as well as send-message dialog, adding a Link via the button/dialog.