Oh, ok, I have looked at it, I can see the problem, but I have no idea at the moment what might be causing it.
Yikes...

It has to be something wrong with this "R2" page.
I can create new off-page references anywhere, between R1 and R3, between R1 and R4, or between R3 and R4. The references work perfectly.
But for some reason, even if I create a new page and call it "R2", if I try to make a reference that connects to R2, one of them just doesn't seem to function correctly.
For example: If I make a new page "Page-5" and within it I create an off-page reference for "R2", Visio won't even drop in a new off-page reference in "R2". Instead, inexplicably, it creates one in "R3" instead--as if "R2" doesn't even exist...

If I Right Click on the off-page reference and actually Click on "Off-Page Reference it goes to where it needs to go. That seems to be the only consistency working, however, I have to be able to have these references to work via double-click.