Update: My original post is not accurate and should be removed - the jumping to an existing file still exist regardless the layout setup options. I jumped the gun, sorry.
Now back to troubleshooting.
Thanks for the update. It is important to know you've solved your own issue.
Have you read the white paper on relationships? or looked at the "Anchor Buoys" MS Powerpoint presentation. I think they would help you understanding this.
Sorry no links but you will find them either on TechNet or via a google search.