Is there any way to get some help to get the Web Links to show up in NukeSeo sitemap I mean all links not just the cat

Yes and No.
You could modify the sitemap behaviour to show all the links BUT doing so will generate an error if you add the sitemap to your google account because Google does not allow links to external site (neither do most of the other search engines).
A sitemap is used to help search engines crawl content within your site not external sites.

Guardian is correct. The original thinking for weblinks showing categories is along the same lines, but also - what would be the point of linking to the external site from the sitemap? The purpose of the site is to show what's on this site, and the categories of links are content, while the links themselves are not.
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