Hello Nat,
The links in MLO work on all devices, as long as your linked documents are accessible on a Cloud server or somewhere else on the Web. If you wanted a link to a locally stored file on both desktop and mobile, you'd have to have copies of the document stored in the same place on both devices - This isn't possible, because they use different file systems. In any case, if you wanted to be able to edit the linked document, you'd have to store it somewhere that you can synchronise between the desktop and mobile copies (unless you're never going to want to edit it), which naturally leads us back to storing the document at a Cloud location (perhaps an Office 365 OneDrive folder, or on Dropbox?).
As far as attachments are concerned, that goes against the design philosophy of MLO, which is to have a lightweight file with a hierarchical task list. For a full notetaking app with embedded files, you'd need to consider using apps like Evernote or OneNote. Although these apps have simple task list features, there are still lots of benefits to having your task list in MLO, where it is structured, filterable, sortable and can be set up with multiple tags and custom views.
(I should say, I've started using OneNote quite extensively, but even then I tend to avoid embedding documents within my notes. I'm still working out the details of how best to manage tasks in MLO and when to use To-Dos in OneNote. For me, it's made more complicated because my employer protects access to my OneDrive, so I can't link to it from external apps such as MLO.)
Stéphane