When you check the "Link to file" box in the Insert Object dialog, you are not embedding the PDF file in the Word document. The only thing inserted in the document is a link (like a shortcut) to the location of the PDF file on your drive. If you mail that
to another computer, there's no way to resolve the link and open the PDF file.
When the "Link to file" box is not checked, the PDF file itself is embedded in the Word document. When you mail that, the recipient gets the whole thing, so clicking the object in the document will open the PDF.
If you have a document in which there are linked objects that you want to turn into embedded objects, first save the document and then click the File tab. On the Info page, at the bottom right, click the "Edit Links to Files" button. In the dialog that opens,
select the links and click the Break Link button. Then resave the document.
