I'm not sure why you're saying that, kj. When I cite online material, I include the URL to it. When I create a replica of the webpage, I make certain that it displays the URL as well. Here are some samples. Four are screenshots (attached). The other two are shared via Scribd:
PDF = http://www.scribd.com/doc/115766156/Citation-Medium-Webpage-...
GEDCOM = http://www.scribd.com/doc/115769737/Web-Link-GEDCOM-Export-f...
These files demonstrate a few things everyone should take note of.
1. Web links are not included in the GEDCOM. The URL would have been included only if I'd written into the "citation detail" field in FTM.
2. Web links are included in a reference note where they should be (nice feature!)
3. The reference note here includes the same URL that can be seen on the header and footer of each page of the PDF. (Let's assume I'd put it into the citation detail field so it would have made its way into the PAGE tag in the GEDCOM.)