How did you take that snapshot on what Mac OS X version? Because normally using the built-in tools of Mac OS X gets you a PNG file, which is an image file, thus cannot have links inside, unless you turn it into a text document.
Anyway, I just took a screenshot of my Desktop via CMD+SHIFT+4 and selected an area to shoot, then a PNG file got created, then I have opened that file in Preview, then I added text via the Annotation Tool and saved it as PDF.
I reopened the PDF and was not able to select the text.
Another idea, if you screenshot something with text, that text will be handled as graphic, not as text, thus it is not selectable.
Or do you mean something else?
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