I don't think you'll get any argument about the desirability of identifying primary sources. In addition to showing the real source, it gives a reader a possible mechanism for finding the data again should a link move or become broken. Nevertheless many of us do use web links as well. Often that is where we found the data that is shown, and it gives the reader the quickest and easiest way to find the data, and related info, if he wants to (without getting out of his chair). I'm not aware of any policy that discourages use of web links, but it is a good idea to revisit your profiles occasionally to make sure the links still work.