If elements have pipe/duct/electrical connector in linked project file, you should copy monitor elements then you can connect your connections. If I can connect them without copy monitor, my project size reduce and it would be easy for everyone.
But it is important to transfer connectors pipe flow, duct flow to the pipes/ducts etc.
For example,
I am mechanical engineer and I want to copy monitor plumbing fixtures from architectural model. When I copy monitor them my project size is increasing. If I can connect my pipes to the linked files plumbing fixtures and can read the flow/fixture unit information it would be great.