That should not happen, but occasionally it does with some of our courses.
How are you crating the links to those files in your course? The best we can figure out, when there's been a problem, the instructor was doing something like cutting and pasting a link to the file, rather than the "correct" method as described in
The other possibility is that there's some other hidden formatting code in the page or module that is interfering with the course copy process correctly recognizing and "translating" the file link.
I don't think we've ever found out for sure, but the problem usually seems to go away when we fix the file link by creating a new link using the steps in those articles.