Your guess is correct. DEVONthink does not create aliases to files that you index, it merely records the path to that file in the file system. If the file is moved, or if the path doesn’t exist on another machine, then the index is broken and “not found” is the result.
“Limit”? Not at all. If you maintain the same document paths relative to the root on all machines, indexing works the same on each machine. I don’t think you would want DEVONthink making these decisions for you. (This is discussed at length in the forum, see for example this thread)