Agentforce: Agent Response Missing Citations when using custom apex Retriever instead of Einstein Search Retriever in Answer Question With Knowledge action.

If you have made changes to the standard version by removing the Einstein Search retriever and configured a custom apex retriever the citations will not be generated. 

If you want the citations to be displayed for the custom apex retriever, follow the help article here to create a custom Agent Action.

This will allow you to return GenAiCitationInput/GenAiCitationOutput with the citation metadata from the Agent Action to the Backend.
The GenAiCitationInput class provides the Agentforce reasoning engine with citation information, enabling it to determine where and how citations are added to generated content.
The GenAiCitationOutput type gives you direct control over how custom actions display citations for source information, bypassing the reasoning engine’s logic for explicit citation insertion.

For more details, refer to the citations reference.