The documentation says that SourceLink is supported for C++ projects (not SDK-style, not PackageReference). It says that only embedding URLs for downloading the source code is supported.
https://github.com/dotnet/sourcelink#using-source-link-in-c-projects
It would solve a long list of headaches if it were possible to simply embed the source code directly in the generated PDB instead of dealing with network traffic. I will not go into details, suffice to say that external network traffic can be very problematic in certain debugging situations.
Please, please consider supporting this feature!