If you check out a document and choose "Checkout all dependent files," and some of the dependent files are in nested subdirectories, you may get "Missing file" messages when you open the document. This is because FrameMaker does not create the nested subdirectories successfully in your local folder. On any given pass, it seems to be able to create subdirectories only one level deep. (This appears to be a bug.)
As a workaround, you can create the subdirectory structure manually in the local folder before checking the document out.