Can you insert pages in Word as dividers / heading pages in between the pdfs you are inserting in the Appendix, and insert links in Word to those? Then after you have inserted the supporting pdfs there is no need to link to them too. I do this with proposal docs at work. I use PDF Viewer Plus in Paperport for this, but don't think it's free.
That's exactly what I'm doing, so:
Contents
Report Body
Heading 1 (linked in text)
Figure 1.1 etc. (linked in text)
Heading 2 (linked in text)
Figure 2.1 etc. (linked in text)
Appendix A (linked in text)
{Insert A3 documents here}
Appendix B
{insert A4 documents here}
etc.
But my usual workaround would be to ram the documents in there with one piece of software then print to pdf via another piece of software. This breaks the links. If I save the document (preserving the links) I get demo stamps.
It's not as simple as replacing the bookmarks either as it requires things like figures and tables to be linked backward/forward from the body in the text.
Paying or a demo that doesn't add stamps in the trial period is looking increasingly likely.