The interface provided by the ChatGPT website does not return URLs and does not directly visit ones that you provide, either. Those functions are restricted to Custom GPTs and the API.
When you provide a URL, what actually happens is that it uses its built-in search (Bing) to search for that URL, then visits that page. If that doesn't give satisfactory results, that would explain the suggestion that you search elsewhere.
In other words, ChatGPT the website is not allowed to visit URLs you give it (only ones it finds in Bing) and doesn't directly send you to websites -- probably for safety reasons.