Cross-reference to other chm file?

My FM19 documentation set consists of several FM book. (Somewhat different set of books depending on customer.) For each FM book I generate a separate chm file. The customized set of chm files are merged using a .htm file, into a documentation set.

There are many cross-references between the different books/chm files. However, with FM19 I can't get these cross-references to become working click-able links. Instead they just end up as regular text in the chm file.

What am I supposed to do to fix this?