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
notto target. I easily know what they are and I avoided
them.
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.