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Sounds like you're running into a new issue which appeared in OmniGraffle 5.4: we made a lot of changes with the move to 64-bit, and accidentally broke PDF export of actions.

These issues have been fixed for the OmniGraffle 5.4.1 beta:

Fixed a regression where actions to open URLs were not exporting properly to PDF.

Fixed a regression when using actions to jump elsewhere in the document and then exporting to PDF.