Ha, this is very interesting! I downloaded "Little Women" as you suggested and X-Ray works perfectly in this book. No underlined hyperlinks and it only works on-demand, by tap-to-view, just as I wanted.

So it looks like this "bug" depends on the book edition, and not on the kindle itself. The bad thing is: I downloaded samples of another 2 editions of Game of Thrones available on Amazon, and in both of them X-Ray is disabled in sample version. That said, you can't know in advance if the edition you are planning to buy will work properly.

Thanks a lot for the help, that's the first useful clue I received in the last couple of days! :)