I have this problem, except I am usually using Firefox (9.*, 10.2, 11) after I switched to OS X (10.7.2 and 10.7.3). Will have to forward a support question to the Mozilla team and see how they can fix this, it seems Firefox browser has the same trouble.
When choosing (from Safari 5.1.3 or Firefox 9*, 10*, 1nd 11.0) either
File -> Print -> PDF -> Open PDF in Preview, or
File -> Print -> PDF -> Save as PDF
The resulting file contains "highlighted" or blue text where the original web page contained links. However links WITHIN the document, or to external URLs, and DEAD. broken. Click it nothing happens.
What am I missing?
Per this thread I tried an upgrade to safari 5.1.4. Voila, PDF files have links. Interestingly, the resulting links in the PDF are NEITHER highlighted, blue color, or in any way distinguishable by eye. For instance, print-as-PDF any Wikipedia article. If the article used italics to distinguish a link, you will see italics in the PDF. But no color clue if the text is in normal font. The only clue to a link's existence is if you hover over a link-word with the cursor, the link appears. ARGH! Why can't the PDF display the tet as it appeared in the browser, i.e. with a color highlight!