[whpalmer4]

I clipped a PDF file found on an external drive, then unmounted the drive. When I double-clicked the icon in the notes field, I got a file open dialog inviting me to track down the missing file. I think Dennis is on the right track suspecting that you're being misled by the icon into thinking the file was actually embedded.

The Edit->Attach File option does ask whether you want to link or embed the file; perhaps you saw that at some point?

If you go to your Library/Application Support/OmniFocus/OmniFocus.ofocus file in your home directory, then do Show Package Contents and sort by date modified, you should see a .zip file there for any attached file that you just embedded, and it will be large in comparison to the other files if the file was truly embedded and not just linked. If you're experimenting, don't use too large a file, because you will have to sync it over to your other client(s) even if you delete the action before doing the next sync...