adding links and saving as video

Even a hyperlink is an interactive object, though with less possibilities than buttons/click boxes/Text entry boxes:

http://blog.lilybiri.com/use-hyperlinks-as-interactive-object

An interactive video still cannot be published to MP4, Rod didn't mention that. Like a normal cptx-project you need to publish to HTML to keep all interactivity. Here is an example of such an interactive video:

Custom Play/Pause button

Just wanted to mention this to add on the information by Rod. 

http://blog.lilybiri.com/tips-for-interactive-video

Captivate allows you to export a project to MP4 video but that is NOT an interactive format,  That's just standard behaviour for video.  It's passive, not interactive.

Perhaps you have heard that Captivate allows you to create 'interactive video'?

Paul explains how that works here:

https://youtu.be/-uNc9Yhg2CE

But you need to understand that this is actually an interactive layer (constructed with HTML5) that sits ON TOP of the MP4 video itself.