Yes, running some scripts where a protocol is used (http://) the 'slashes' get interpreted by the shell as 'escapes' so one either has to use double quotes around those or escape the escape's ... like http:\/\/ ... the \ in front says next character is literal.
I'd had to do sed that way on some systems.
So in your case using an editor (like nano) on sql dump prior to import of the sql might be best option.
I kinda like that process in that after a do a search and replace I can search again to see if nano got them all (minus the embedded internal links).
Anyhoo, nice that you have options/choices!
'SoS', Ken