Dialing numbers listed on websites is supposed to be an easy task on Windows Phone. The OS basically highlights the numbers (like a hyperlink) and when you tap them, you get the standard "Edit phone number" screen and the option to call said number. The system is based on detecting sets of 7,10 or 11 numbers with their appropriate hyphens, periods, etc.
Interestingly, some folks at XDA have discovered that this seemingly only works for US devices. More specifically, devices who's 'Region format' settings under 'Region + language' are set for English (United States). Even folks in Canada evidently have this issue which is odd, to say the least.
We tried the list of numbers found in this post at XDA with our US region settings and they all worked fine except for the last number--just as expected. When we switched to Estonia (and rebooted) those numbers were now un-clickable just as others are reporting.
We're hesitant to call this a 'bug' because for all we know Microsoft did this on purpose for some strange reason. Still, if you want this function, you can head to Settings --> Region + Language --> Region Format and change that to English (United States) to get it to work for now as a workaround. And Microsoft, if this isn't on purpose then you may want to fix it for future updates, kthxbai! As noted in comments, this is actually advertised as a US-only feature by Microsoft so if you want it, you'll have to use the above trick to get it.
Source: XDA; Thanks, James, for the tip!