I needed to uncheck the Update links on save in Excel 2007 options. There is a Microsft KB aricle about this setting:
Microsoft show the manual method, but I need the registry setting so it can be applied via Group Policy Preferences.
After exporting to registry snapshots I used WinMerge to see what has changed.
The new registry setting is:
DWORD = 0 (Checked) Default
DWORD = 1 (Unchecked)