[Joel]

I'm pretty sure that .ai files must be saved as PDF-compatible in order for them to be placed in OmniGraffle, rule of thumb is if Preview.app can open and view a file, then it can be placed as well in OmniGraffle.

As for relinking to a folder, this is quite simply our own UI not being as good as it can be, we have hopes that we can improve how this works, in the meantime you'll have to relink manually (the shapes are still there, just very hard to figure out where they are since they might have no fill or stroke).