I don't know if it's a bug, but I think I know the behavior you're experiencing. Are you sure you have formulas that actually refer to another file? Could it be that the formulas that created the links in the first place have been modified or deleted? (perhaps through a copy/paste-special/values sequence)
Try this: copy/paste everything (all sheets and cells) to a new file. Then, check to see if Edit>Links is available. If it's not, then I don't believe any of the formulas you just pasted could be referring to external files. Excel doesn't always (ever?) disable the links command even after all links have been removed.
Hope this helps.