The macro looks very cool, but unfortunantly i wasn't able to get it to work. It kept crashing my document.
I will try and test it later on another document with less links.
I was however able to solve most of the errors. The broken links can be fixed by this tool:
http://www.oaltd.co.uk/MVP/Default.htm
(FindLink) that helped me locate and delete the broken links.

The one error i still can't quite figure out is the
"... Reopening will cause any changes you made to be discarded ... "

I don't have any documents open when i open the Main Word documents with all the links attached. I do have multiple links to the same excel workbook so a possibility could be that it opens the excel workbook when it first comes across the link, when opening the main word document, and the next time, it gets confused. This does not seem realistic though, as the error comes about 5-10 times only when i open my word document, but i have 100-200 links to the same excel workbook.

Also just to be clear - I have changed all the links to manual now. But any new created links are set to Auto by default. Why is this? And can it be changed!