Throughout the years, Telegram has upheld its reputation as the scammer's paradise, and it still does. So if you get any unsolicited PMs on Telegram, be sure it's 99.99% a scam attempt. No legit business will DM you first.
Exactly. I remember when I knew about crypto some years ago, I joined some groups on Telegram and that was how the scammers are knowing people not target. I easily know what they are and I avoided.Is is possible to get infected just by clicking the link? I'm not aware of it. AFAIK, unless the user opens the executable file (malware) you won't be affected. I can be wrong though. 
A file has to be downloaded before the malware can be able to do its work, but people will be advised to just not visit the link which is a good advice for those that do not know about malware.