I would expect order entry to react the same as if someone deleted the information in a field. In other words, if the order was opened but the document was no longer available, then OE would not be able to access it to print it with the invoice, or allow you to open it from within the order. If the information in a field disappears, the order is still there and the other information is still valid.

What happens in IC if the linked file disappears?

I would suggest that the standard be that the linked files are in a folder within the data folder, so they are backed up, made part of zip files, etc.