Hi,
The links are SEFed automatically. But on the backend of the website, Joomla deactivates the SEF system so that's why you get that behavior which is normal.
But the fact that the SEFed link doesn't work is not normal (it should work). But if it doesn't, it can come from a lot of things.
The link to the order is generated with the line:
$order->order_url = hikashop_frontendLink('index.php?option=com_hikashop&ctrl=order&task=show&cid[]='.$order->order_id.$url);
in the file administrator/components/com_hikashop/classes/order.php
You can try removing the ".$url" in that line and see if that helps.