Web grounding means Copilot checks the web before it answers. When web content would help, Copilot sends Bing a short search query generated from your prompt, not the full prompt itself, and builds its answer on the results, with citations attached. In Copilot Chat this often happens by default. In Claude, web search is something you switch on.
Admins can turn web search off for the whole organisation, and it is off by default in some government clouds. So trust, but verify: a citation means Copilot found a source, not that it read it correctly or that the source is reliable. Open it before you repeat a figure to a colleague or a client.
