Hi Ian,
I you have admin access, you can go to the Settings block > Site Administration > Repositories > Common repository settings.
Check what 'Allow external links' is set for. If it is set to Yes, then users when they try to embed something from a repository with the text editor, will see an option to "link externally".
(We have also checked "Legacy course files in new courses", because we need course-level repository right in Moodle to replicate exact 1.9 behaviour).
If you are using Add A Resource option and not the text editor, then you will need to re-educate the users about the new Moodle functionality.
e.g. 1.9 Link to a File or Website can be achieved with 2. 0 URL resource, but not with 2.0 File resource
I have added a table here: http://moodle.org/mod/forum/discuss.php?d=172245#p760162 for better visualization