A Space answers from the Knowledge you add to it — not from the open web. When you ask a question, relevant passages are retrieved from that library and a grounded answer is generated. Sources under the message are the citations: the documents from Knowledge this response drew on.
Add material in Knowledge before you expect citations. If the library is empty, or nothing in it matches the question, the answer may have no Sources attached.
Citations appear as named pills under the message. Hover for a preview; open one to go to the document.
Anything in this Space's library can be retrieved and cited:
Retrieval stays inside your Space. Deep search can look across your My Spaces; it still cites Knowledge you own, not the open web.