Thanks for your very clear explanation, Paul: it enabled me to understand the problem- which was that I had underscores in the pdf filename. So when lyx "mangled" the file name (as you put it), it then couldn't read the mangled filename back because my underscores and the mangling underscores confused the issue. The file got lost.
Important lesson: don-t use underscores in names of files to be included. Richard
