Snagit did provide the ability to capture url’s from links on the captured documents until version 12. In my past I was an ‘expert witness’ and I used that feature often when doing legal research and preparation as the links provided detailed proof as to what the web site shared with others and it could be proven if the links changed to another source, of perhaps to another web site that was not allowed to be connected to the original web sites company.
I asked Techsmith if they would restore that feature and they claim their customers had no need for it and so they choose not to support it any longer. Instead they encouraged me to go back to version 12 which does not capture scrolling web pages as well as version 18 and 19 do. Such a shame.
If your sources is a web page, you could expose the URL by turning on Capture Information effect, copying the URL from the browser address bar and applying it as custom text, as shown below, but the URL is not linked and is therefore not clickable
If the source is not a webpage you could use the same technique to cite the source
Or perhaps I have misunderstood your question?