You should never use print to create a PDF, avoid postscript, that means no EPS, but also no Distiller or PDF creation via print.
That is generall said.
If you create a PDF via Export only you can use URLs. (Often URLs work anyway as Acrobat and Reader are detecting those automatically from the text, but often not correct.)
Normally you could place an INDD file or an exported PDF/X-4 file in other INDD files als links, they are handled like PDF images. But images can never transfer interactivity into InDesign when they are placed there. So you will loose these interactivites.
But why will your client have the links alive in all sizes? The user will not open every size and use it on screen. So I would recommend to build up the links in the original which should be the version which the user gets on screen. The other sizes can be done via placing INDD or PDF/X-4 files (with bleed.)
What you you should care is, if you use a smaller file, your resolution must be at least the square root of 2 higher for each step you want to increase the file. Let's say the original is A4 and you want to blow it up to A3 you need 1.41 × 300ppi, or A2 will be 2 × 300pp. The other way round, when you place it in a smaller layout, you must increase the bleed. If the bleed is 3mm in the A4 original and you want to place it in a A5 the minimum bleed available in the A4 must be 1.41 × 3mm, with A6 2 × 3mm. (For the output you can use a different bleed in the export as you have set up in document setup.)
Than you Willi for your answer.
You are absolutely right, that A4 and A4 PDF behaves same on the screen. I will try to explain to my client.