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@Surrogate, btw, I don't think he's talking about the links you showed in your video really? Or maybe you are right 
As far as I understand, the video shows "data recordset" links (or not?), could it be that topicstarter meant something different?
It looks sort of like @Surrogate video. Here are some snaps.
When I open the doc I get this, not surprising as the source location doesn't exist anymore:
https://imgur.com/EpIF1RuI click update links, and of course it fails:
https://imgur.com/AA5NGpKClicking on links yields the gibberish dialog. Fortunately, I can read just enough of it to see what the end of the filename is:
https://imgur.com/TcmYuTCTo repair, I have to fix each and every link singly, you can't group select and edit (in this example there are only 2 external files, one link on one file and all the other links on the other).
This works, but only by hardcoding the location of the Excel file.
Here is a small snippet of one page of the doc, the shape has been double clicked. All OK!
https://imgur.com/i40lYvj Edit: The above does not demonstrate the connection to Excel. That object was a 'worksheet object', not a 'linked worksheet object'. The worksheet objects of course are always editable, the linked ones though do open in excel when context edit is chosen, after the links were manually corrected.
Finally, here is the shape selected and ctrl-k applied. The dialog does not list any existing link:
https://imgur.com/wvwSROdMy goal is twofold: Mainly, have the OLE connections relative so that the xls and vsd can travel together and work no matter the folder they are (both) in. Secondly, and less important, find an easier way to edit the links. I have ~40 docs and the number of links in each range from maybe 100 to as many as 400 in each doc.
In a worst case scenario, I can just recreate the pages with the links. I can do the painstaking editing of the links in the update links dialog shown above, and then for every single shape with a link, delete it and then reinsert the proper datarange from excel using the hyperlink object with the relative property selected.
Thanks for reading all this and assisting. Sorry for the url's in the post, the preview wasn't showing the img's I inserted.