The Play button isn’t there for an LMS, its there specifically for HTML5 (which is what you have when on an LMS also). The issue it solves is that browsers won’t autoplay video or audio unless a user clicks on the content to play it, so CVR puts that play button up and holds onto the click in order to play the content. This is not an issue when running in any of the native CVR apps for phones or VR headsets where we can control it.
Hyperlinks to third party content is not natively in CVR, because it won’t work properly in a phone or VR headset when running the CVR apps, as they are not running inside a browser. It can be done though. If you are certain your users won’t be running using the CVR apps, you can use the methods described here to get any actions in the content, and act upon them in a browser.