Hi, Esther!
Currently, there is no option to backup/copy files that are linked in the PHR - only attachments support that option. This is an interesting suggestion and we'll pass it along to our development team.
A concern to always keep in mind is that if the PHR links to a number of large files this process could be time-consuming... Perhaps an interface similar to that used in configurations might be useful - selecting/de-selecting indidual files.
Thanks for your suggestion!
Support Team