Looks like you got the hardest part all set up correctly, if the link in the last picture next to the red arrow is exactly what you want to end up in the Excel doc.
I did some Googling and there doesn't seem to be a way to set the value to be a Link on Retool's end, but there are a couple of things that can be done on the Excel side of things to convert a string that you add to a clickable link!
I found this blog post, where a user has a clever way to add in a specifier to Excel so that it knows to convert anything inside a given cell or column to be a clickable link.
As well as this form post that confirms the easiest way to do this seems to be by changing the column type with a formula of =HYPERLINK(A1) (replacing A1 with whatever cell you are interested in).