Hi Alice,
You should turn _on_ "Create Named Destinations for All Paragraphs".
If you turn it off, FM might not assign IDs for certain paragraphs, which are needed for cross-referencing (specifically from other files), or for generated lists. See Shlomo Perets web-site for more info: http://www.microtype.com/ImprovePDF14.html
However, as your cross-references are resolved, that should not be the culprit. Did you turn on "Generate Acrobat Data" in the print dialog? That is needed to create hyperlinks in the PDF file out of FM cross-references and hyperlinks and to set the correct page size.
Best regards
Winfried