I created bookmarks in my Master Data document, however just using the interface to insert a cross-reference in the Shell doc as you describe does not give me a list of bookmarks from the data doc ... not sure how to enter a path to the file.

Then suddenly it seemed as if my INCLUDE TEXT could read the file and import it.... and the bookmarks were available from the data doc.

Remove the INCLUDE TEXT and we are back to cannot connect to data source and no bookmarks from the data doc available either.