Then you have to check the url you typed in, because when you put that in the exclude box, SSU will not do anything to that anymore, but will pass that back to the default Zencart function to generate the link.

So if you put "redirect" in the SSU exclude list, and you see the new link in the form of:
index.php?main_page=redirect&action=url&goto=www.something.com

That means it is back to the default style, and SSU no longer touchs it.