I get the same message when mousing on the left side icon in the cnet url line though the icon is not the same as the one I'm trying to link.
I've tried to add one to a post. It works during preview and seems to submit but is never added to the thread. I've tried it in the test forum with the same results but here's something I've noticed. To the left of the url line is an image of a lock and yellow triangle. When I mouse on the image, a message appears saying "This website does not supply identity information". Shall I presume this is the reason and any that say this will be blocked even if preview works?