The specific menu sections may be hardcoded to look for the DWG files at a very specific place: look further, in more detail, and find out.
To test whther the location of those DWG files is easily available to AutoCAD, test at the comamndline by typing -INSERT (there is a dash in the name, then hit <enter> then just type the name of one of those blocks and hit <enter> again. If AutoCAD finds it, will will not complain.