By not storing the files in the .urd file you lose the automatic compression and ability to encrypt the actual files, but as you noticed, all indexing, keywording and linkage works the same whether stored or linked.
If the linked files are actually located relative to the .urd file (like a subfolder where the .urd file is), then the url for each linked item can be relative - which will make moving the .urd and related data much easier in the future... Just FYI.
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