It may help if you set up the Smart Dialing preferences. These can be found in the Call Log under options.
It allows you to set your country code and national number length. This will sometimes help it automatically mark UK local numbers as links so you can click on them and call them.
Mine is usually set to +1 for my country code, even though I live in London (US expat), and it will not normally recogize UK numbers such as 07917 123 123 as a phone number you can click on. When I swith the country code to +44 and the national number length to 11 it will.
The other option is to place the cursor in the SMS on the first number directly. In the number I used above, put it on the "0" and then click the trackwheel. This should give you the option to dial the number right from there. The Blackberry won't highlight it, but generally anytime the cursor is on a number you can click the trackwheel and it will let you dial that number.
But again, the cursor has to be on start of the number.
I just checked this again to make sure and it still works. Much easier to put the cursor on the number with the 8100
Lastly, any number with a country code in front of it (+44, for example) will also show up as a link.
Hope this helps.