No, it is not a bug, it is a feature

Malzilla does just what every webspider does - follow the HREF links.
It does not search for every link in the file. Links from textual part of file, links from comments and the links from scripts are not on the list in Link Parser.
I will now explain why is this done this way.
I DO have code that will catch every single URL, even from binary files, but this is far from perfect for HTML files.
Namely, most of the links in HTML files are relative paths (eg. "/images/image.gif")
Those would be missed by my other code that I have.
The current code in Malzilla is searching for every HREF, see if it is relative or absolute path. If it is relative, it search for Base tag (not necessary present in every HTML document). If Base is found, then the absolute paths are calculated relative to this basis. If Base tag is not present, the current URL (from URL box on Download tab) is taken as basis for calculating. See Link Parser tab, "URI base" field. If there stays "URI base (detected)", it means that the HTML contains Base tag. If stays "URI base (not detected)", it means that the URL from Download tab>URL box is used for calculation.
As an example, save any HTML page that does not contain Base tag in HTML header, and where some relative URLs are existing in the document.
Now open a new Download tab and load this document. Take a look at LinkParser - you will not have complete URLs anymore because Malzilla does not know the basis URL.
A solution is to save pages as 'Malzilla projects' (see Settings tab). This way extra info is added to every saved HTML page (does not destroy the page as the info is added in the form of comments). At loading such HTML in Malzilla next time, Malzilla will know the base URL, UserAgent and referrer used.
Now, I can add extra list in LinkParser that will contain all the links detected by a regular expression. That will catch every ABSOLUTE URL (relative URLs can't be found with such function), no matter if the URL is in comment or anywhere else in the document.
More info on Base tag:
http://www.w3schools.com/TAGS/tag_base.asp