Hi Andrew and Karlin -
I'm using the default editor which is included in the MacOS build of lilypond. I'm not using Frescobaldi.
And yes, I've checked that I'm using preview mode. The links are there. I can see them when I mouse over, and they work in Acrobat. I've looked through all the options I can find in the Preview app and haven't seen anything that might be blocking the links. I'd use Acrobat if the PDF would update properly, but there is a disclaimer in the documentation that says only the Mac preview app will auto-update after you typeset the file.
Thanks!
Travis