It is possible that when the user who saved the session did indeed save it, they failed to check off "Copy All Audio Files". This check box is paramount to the addition of all audio files to your "session". Also remember that the session file only tells the DAW what to do with the audio, so if the session is by itself - there will never be any audio unless you then relink it of course. It is a common user error to "save as" when you would be correct to "save copy in". If you have further questions, please PM me.