|Last questions, then I think I'm done. Sorry!|
You may know this, but I don't know, so I'll throw it out...
Typically when you create a link to an open workbook, you'll see the workbook name, sheet name and cell reference after the = sign. Once you close the source workbook, the link should automatically update to include the full path to the source.
So, is that happening? If not, then the link obviously can't be updated unless the source book is open. (I'm guessing that this is not the problem.)
Assuming the full path to the file is contained in the link, is it possible that the workbook doesn't have permission to access the source workbook when it's closed? Or maybe it has trouble following the path, maybe because of some drive name alias or broken network link?
As a test, have you tried saving the source workbook to a different location - someplace "nearby" - to see if the path to source file is the problem?
I'm just shooting in the dark here...