I have a whole bunch of web page mockups to make in Photoshop, and I'm placing things that don't change from page to page (like the header and footer) in their own Photoshop files, and then placing a linked copy on each page. I was expecting that, whenever I modified the header or footer file, the linked images would automatically update in files I'm working with. Instead, every time I make a change to the header or footer files, the Photoshop file I'm working with shows a broken link icon in the Layers palette until I right click on it and select Relink... which is not a time saver at all. Is this how it's supposed to work? If I have to open up dozens of files and relink all the linked images every time they change, then I might as well not bother linking them, and just make the change manually in each file.
If your composite document is already open when you update the linked files then they should just update the SOs, at least they do here.
However, if you open a composite file and get the triangle icons - right click on any of them and choose Update All Modified Content. They should all update in one go. The idea was that you could choose whether that file updated or not.