OK. I am able to replicate the error message (in both Word 2010 and 2013). I don't use LINK fields, myself, so am unable to provide more insight.
Note that I do not get the error message when I link to the file without using a bookmark.
This is the MS reference page on the field but it didn't help me.
https://support.office.com/en-us/art...rs=en-US&ad=US