Since InDesign CS4 was release, various users have complained about the File > Package command failing to collect all the linked images properly. It appears that the problem, for many people, is related to using colons or slashes in filenames, which makes the Package command choke. See this post on the Adobe Forums for one discussion about this. Upgrading to 6.0.4 seems to fix the issue for some people, but for others the problem persists. I haven't personally experienced this, thank goodness. However, a client asked me about this yesterday, and I suggested using the Utilities > Copy Links To command found in the Links panel menu as an alternative method to gather all the linked files. I told her that perhaps this would work where the Package command fails.
I just received an email back saying:
Thank you, that solution worked! It is a little mysterious, because I can't tell that it's actually gathering anything but it works in the end very well. All the images were collected and accounted for. Thank you for the help!
So it appears that at least in this case, the Copy Links To command worked where the Package command failed. At any rate, the Copy Links To command is good to know about. It is sometimes a quicker, more direct way to gather up all your linked images into one spot that using the Package command.