It looks like it can't!
I am trying everything in CS 5.5 and CC 2014, but nothing works. The source file has cross-references automatically created with MS Word (from a reference source).
After I import the text to InDesign:
I have the anchors in the imported text, I can see hyperlinks marks in the story editor, but no hyperlinks in the hyperlinks nor in the cross-references panel... After exporting to PDF none of the cross-ref works.
Anybody knows a solution?