Thanks - this makes sense. NCrunch has no awareness of these links. I'll see what I can do about fixing it in a future version. A useful (through perhaps rather clumsy) way to work around this issue is to add the files using the 'Additional files to include' configuration option.
For anyone interested, 1.40b has just been released with a fix for the above issue. NCrunch should now be able to resolve <Link>ed files automatically.