No solution, just a comment:  I ran into the same thing at a recent
engagement; I'm not sure whether they were using 2003 or 2007 but it sure
wasn't 2002.  Therefore I don't think it was a bug.

It didn't always work like that, only for external spreadsheets that resided
in certain places.  I didn't spend a lot of time working on it, for in my
case I pretty much had to open the other spreadsheet anyway so it didn't
inconvenience me much.  But I had a theory, at the time, that the references
that worked correctly were to documents that were on my own hard drive and
home directory, and in the cases where I had to open the external document to
get the references to work, they resided on a different drive shared by my
department and others.  So I always figured it had to do with the document
location.  But as I said I never got around to testing my theory.