They can but generally that includes any Javascript on the same page which sometimes does funny stuff when you open it up offline or after the remote server goes away.
It's not perfect, but Edge will let one take a simple full page screenshot with Ctrl+Shift+S. It results in a hefty PNG but at least it's a visual copy of everything which might suffice for a certain set of purposes (e.g. links will be lost, so it's not good for that).
I can still right-click > Save any page as .html, but that doesn't guarantee server streamed stuff, media, images, etc. will be preserved correctly.