I had assumed you would be running the macro from a folder below your 'Introduction' folder, in which case, '01 This Folder' is technically correct, though I'd have omitted the numbering from that heading level.
Change:
.InsertAfter vbCr & "This Folder" & vbCr
to:
.InsertAfter vbCr & Split(StrFldr, "\")(UBound(Split(StrFldr, "\"))) & vbCr



Regarding the '01.01 Introduction\' issue -
Change:
.InsertAfter vbCr & strRelPath & vbCr
to:
.InsertAfter vbCr & Split(strRelPath, "\")(0) & vbCr
Does this occur with hyperlinks to Word documents, or only with hyperlinks to other file types?

If it's the latter, that's most likely because when you use Word to hyperlink to another file type, Windows recognises there's an issue, then Word's attempt to open the file fails.

__________________
Cheers,
Paul Edstein
[Fmr MS MVP - Word]