How to delete reference cells (URL, friendly name) of links created with HYPERLINK?

There is no built-in feature that can do this. Here is a macro that will do the conversion for you. It operates on whatever cell is selected at the time the macro runs. It assumes that the HYPERLINK formula has simple cell references for the link location and friendly name, and they are on the same sheet as the HYPERLINK formula.

Sub ConvertToLink()

   Dim F As String
   Const FunctionName As String = "=HYPERLINK"
   Dim A As Variant
   Dim FriendlyName As String
   Dim LinkLocation As String
   
   F = ActiveCell.Formula
   If Mid(F, 1, Len(FunctionName)) = FunctionName Then

      LinkLocation = Mid(F, Len(FunctionName) + 2, InStr(1, F, ",") - (Len(FunctionName) + 2))
      FriendlyName = Mid(F, InStr(1, F, ",") + 1, InStr(1, F, ")") - InStr(1, F, ",") - 1)

      ActiveSheet.Hyperlinks.Add Anchor:=ActiveCell, _
                                 Address:=Range(LinkLocation).Value, _
                                 TextToDisplay:=Range(FriendlyName).Value

      ActiveCell.Value = Range(FriendlyName).Value

   End If
   
End Sub