I found out that it is just a windows issue: I do use LSE (Link Shell Extension ) do display icon overlays over hardlinks. BUT, in the latest Windows 10 releases, a number of overlays have been addes (mostly OneDrive related and since there is a limit on the number of overlays an icon can show, I did not get the Hardlink one)
(check https://cito.github.io/blog/overlay-icon-battle/ )
Long story short: Removed OneDrive overlays and discovered that URBackup was correctly creating Hardlinks indeed.
Thanks!