Thanks for all the feedback! It is working as I wish now, but I'm not using the Repository.Execute. For the record, I'm doing the following:
Create the element which will be the hyperlink:
hyperlink = (Element)package.Elements.AddNew("$inet://" + usNotelinkAddress, "Text");
hyperlink.Subtype = 19;
hyperlink.Alias = "To US in Rally";
hyperlink.Name = "$inet://" + usNotelinkAddress;
hyperlink.Update();
package.Update();
I call attention for the subtype 19. It is what the difference in the end. Unfortunately, it is not documented in the Sparx (terrible) documentation. Also, the "$inet://" string makes the hyperlink to open inside EA owns "web browser", which is what I want. If you do not add it, the hyperlink will open in your default browser.
Create the Diagram Object in the diagram and link the hyperlink element created before to it:
DiagramObject diaObject = (DiagramObject)rootDiagram.DiagramObjects.AddNew(position, "");
rootDiagram.Update();
diaObject.ElementID = hyperlink.ElementID;
diaObject.Style = "DUID=6CDA3456;HideIcon=1;";
diaObject.Update();
package.Elements.Refresh();
Set the Style was necessary for me, since I do not want the hyperlink icon appearing. But I have no idea what the DUID is about

Last step, we need to make a connector.
Connector con = (Connector)element.Connectors.AddNew("", "NoteLink");
con.SupplierID = hyperlink.ElementID;
con.Update();
element.Connectors.Refresh();
My connector has my element as origin and my hyperlink as destination; you can switch that by creating the connector in the hyperlink element and setting the SupplierID property with your element ID. I believe makes no difference, but all I know is that I know nothing...
Thanks again for the help!