I’ve merged your post into an existing discussion on this. In short there is no way of making a “master document” project like you envision. The best way to make an anthology really is to have everything in one project. The original projects could either then be retired, or perhaps the anthology project could only be used to generate the manuscript for this particular edition, and then be retired and a new one created in the future, to incorporate any changes made to the satellite projects in the duration.
Which way to go would I suppose depend upon how much of a mess it makes to combine the non-Draft areas of each project. If each story has extensive, specific and non-overlapping metadata fields and research material, for example, it might be cleaner to leave the working copies separate and only combine their Draft folders to compile them together.
The external link feature that you discovered, is indeed a powerful tool, but more useful for closely integrating multiple projects together (among other things, as the links work from anywhere).
For futher discussion on the original query itself (along with some technical challenges on why this would be difficult to do properly):