OK, Finally thing I figure out what the problem was. I did not have powerpoint on same machine - slide was created on different computer. Once I downloaded Office 2021 then share powerpoint as virtual background was enabled.
However, when I open the slide in pp slide show and I click on action button, the linked document opens in a web browser - exactly what I wanted! Once I start a meeting the hyperlink does not work for me as host or my participants which is the whole point - being able to share a document with each participant available to them on there browser. Am I still missing something?