This problem seems related to bug 17954 :

If you don't check "Consider only stable builds", and you
end up with a result that's considered "UNSTABLE",
then while you do get to see the bar-chart coverage report,
the beautifully annotated HTML source code is missing.
When the build is "STABLE" then the nicely annotated
html reappears.

The behavior I expected is that if I asked for reports
to be generated on UNSTABLE builds, that I'd get
both the coverage bar charts _and_ be able to
click on the class file names & see the annotated
source code.

As noted by David Carr, the relevant source code is:

http://fisheye4.atlassian.com/browse/hudson/trunk/hudson/plugins/cobertura/src/main/java/hudson/plugins/cobertura/targets/CoverageResult.java?r=HEAD

Starting at line 160:

public boolean isSourceFileAvailable() {
return owner == owner.getProject().getLastStableBuild() &&
getSourceFile().exists();
}