Copilot Notebook - No web search enabled

Microsoft 365 Copilot Notebooks are not meant to be used for web searches, for that purpose you have conversations and Pages. 
Notebooks are meant to be secure private workspace for you to gather, synthesize and use any of your org content for deep thinking or structure problem solving. Notebooks bring together references from communications and files, enabling users to generate insights, audio summaries, and content drafts.
You can create notebooks for scenarios like quarterly forecasting, triaging support issues, or drafting strategy documents.
Copilot Notebooks maintains a history of interactions to support continuity and reuse and supports real-time collaboration via Copilot Pages.

Hope that answers your question besides, there is official description here : https://learn.microsoft.com/en-us/office365/servicedescriptions/office-365-platform-service-description/microsoft-365-copilot