So for cross references (to tables, figures, etc) Word will make the reference link to the spot in the document that contains the caption like you expect but it seems for citations it doesn't do this. You can't ctrl+click them to go to their location which is odd. Is there anyway to change their behavior that clicking on them links to their position in the generated References page?
Short answer is "no."
It is precisely because the Reference page is automatically generated that this functionality is not available. (For the same reason that outline headers don't hyperlink back to the generated Table of Contents.) (Conceivably, I suppose, citations on the reference page could link back to where they are cited in the document, but of course this would be problematic due to the 1-n nature of citations.)
What is it that you are trying to accomplish? You realize, I'm sure, that you can edit the citations right on the page, right?