It does not appear to be possible to set a "credited as" attribute when adding a URL to an artist.
The only way I can find to do this is to:

1. Add the URL by the standard method, and commit the changes.
2. go to the "relationships" tab of the artist-view page.
3. click on the "info" link next to the URL in question to get to the "URL Information" page
4. click the "edit" tab of the "URL Information" page
5. click the pencil icon next to the artist name in the relationships list.
6. add credited-as info in the dialog

It would be nice if this was simpler.

I find myself wanting to set the "credit as" attribute most often when adding links to Discogs, when there's multiple Discogs artist pages for one MB artist page, as the MB URL-shortener removes the artist name from Discogs URLs.