I have linked a visio document into a word document works fine until I open it up again then the links corrupt what am I doing wrong ?

Question

The Visio document and Word document are both stored in SharePoint online in the same tenancy with read/write access.

I embed the Visio diagram I am interested in by following this process

Select the tab of the page that you want to link to
Click Copy
In Word's Home tab, Click the arrow at the bottom of the Paste button
Click Paste Special...
Click the Paste Link radio button
Click the format you want (e.g. Microsoft Visio Drawing object)
Click OK

I can click on the diagram and it opens the Visio document. Make changes to the Visio document and update the link. All good :) However....

When I open the word document again it states

"This document contains links that may refer to other files, Do you want to update this document with data from the other files ?"

Which I assume I do :) so click on OK. After waiting a while the word document opens. However...

When I click on the picture in the word document now it states

"The server application, source file, or item cannot be found. Make sure the application is properly installed, and that it has not been deleted, moved, renamed, or blocked by policy"

Also when I try and open the visio file directly I get the following message in visio...

"This file is open for modification in another instance of Visio"

Looking at the links the "Type" has changed from "Visio" to "Visio.Drawing.15"

If I reboot my system I can then load the Visio file again but the links in the Word document are still broken :(

What am I doing wrong ?