I sorted the large component (with Externally link!), that contained the original imported file, by moving items out of it by Cutting / Pasting. I then deleted the component from the 'Components Window'
The other Components I added/created - including some with Externally links!) were sorted by following these steps:
1- Rename the Component I want to turn into a internal component by adding XXX (CompName XXX)
2- In the model on one of the Components instances right-click and select 'Reset Scale' (ie it scaled it to it's actual size). Remember I was working on a modal that was 100 times larger than actual size but I created the components at actual size and scaled them up!
3- Explode this instance and Right-Click the selected items and make a new Component (and named it CompName), before clicking 'Create' 'Set Component Axes' to the same point/direction as the original component (this is very important because of my next steps). I also selected 'Any' for Glue to Alignment.
4- Delete this new component in your model and re-add it using the Components Window.
5- Scale it up by x100 (I find that it scales up from the component’s axes because of the 'Glue to').
6- In the Model select all the renamed original components (CompName XXX that have the External Link), then in the 'Components Window' Right-Click the new component (CompName) and select 'Replace Selected'
7- In the Components Window delete the old renamed component (CompName XXX), you can use 'Purge Unused' from the drop down.
Job Done, I can scale the whole model without an issue. 😎