Awk match() - multiple per line

That is correct. AWK regular expressions don't have flags.
Also, there's no built-in support for having match look for the second or later matches.
Only the gsub and gensub functions have that.
I'd try something like this:

gensub(/.*<a href=\"([^\"]+)/, "\1%", "g")last = split($0, "%", arr)delete arr[last]

where % is a string that you can guarantee won't be found in the input.

The text-mode browser lynx might be a better tool for harvesting URLs. It's -dump flag writes formatted output to standard output. At the end, you'll find a numbered list of every visible and hidden link on that page. (Or file. It accepts URLs or filenames as arguments.)

$ lynx -dump http://www.stackoverflow.com [snip]References   Visible links   1. http://stackoverflow.com/opensearch.xml   2. http://stackoverflow.com/feeds   3. http://stackexchange.com/   4. http://stackoverflow.com/users/login   5. http://careers.stackoverflow.com/   6. http://chat.stackoverflow.com/[snip] 676. http://creativecommons.org/licenses/by-sa/3.0/ 677. http://blog.stackoverflow.com/2009/06/attribution-required/   Hidden links: 678. http://www.peer1.com/stackoverflow 679. http://creativecommons.org/licenses/by-sa/3.0/