It would be nice to link documents from a SharePoint library. From what I can tell this is not currently supported.
There's an option to create a Web Link... could that work for you?
well.... that seems to work. I wonder why support says it doesn't work?
I am speculating, but the person you spoke to was perhaps referring to "it doesn't work" as in you can't use Web Links (or Folder Link) as part of the PDF when you go to the Deliver window...
so technically, it doesn't work as we'd hoped. In fact, I'm not sure its possible to reference any Sharepoint link and have it available when you go to the Deliver window. Major issue.
It's perhaps worth detailing your requirements in the Feature Requests discussion group - the Development Team are more likely to pick it up there.