URL link inside pushlished application not working

Is the web service an interactive browser-based process? What you want to be looking for is the initial web service request to APM. Does it send an MRHSession cookie? And the immediate response. Is it a 302 redirect to /my.policy?

In the strictest sense, APM SAML is still relatively new and currently only supports the "passive requester" method (HTTP GET/POST) and not the SOAP-based interaction that a true web service might need. I'm assuming though, since you're actually calling the web service from within the browser session, that we're referring to something more like an Ajax call - a semi-non-interactive process that silently returns data to be displayed in the browser. If that's more or less the case, we need to look at how the web service is interacting with APM.