I didn’t have the same experience.
I moved some audio mp3 files into a new folder, and found that the links to them in my Page had automatically been updated – so they still worked.
So I was quite pleased – many thanks!
Two possible explanations come to mind for your awful experience: 1) Maybe it takes a little time for the links to get updated? or 2) Maybe links don’t get updated in all kinds of documents? I think they do in Pages and Posts. But I wonder about links to media in Events (from Modern Tribe) for example? – or, even less likely, in MailPoet newsletters?
Maybe the author could answer?