All a bit confusing and probably made more so because you have enabled the option "reference all open audio and video files when saving sessions"
So what you have in your 'Exported session.sesx' are 4 files referenced in the session 2 of which are actually used
From what I can gather you deleted/moved the files in the folder "C:\Users\Geoff\Desktop\01 sfx folder on desktop\" - these are the 2 unused files which are referenced in the session
So when you open the session Audition prompts you to 'link' the media and if ignore that then of course the session will still open with the actual 'used' files - the fact that the unused files aren't still in the session matters not at all.
Do I have the picture correct?