I would guess that it's talking about intra-document links like you sometimes see in CAD or Excel documents.  When you open the document in its native viewer, that application will sometimes try to open other documents at a location referenced in the first.  If you have opened the document with the Laserfiche client or downloaded it from Web Access, the application won't be able to find the linked document.  Because WebDAV provides a view more like a filesystem, these links will often work from there.