In version 9.5 file tab - new - from current file - recreate audio files, works correctly, makes a new folder with a copy of the montage and all its files
In version 10 however while it does indeed make a new folder and copies the files, the new montage copy itself does not refer to the new files, it still points to the original files
Please show me a screenshot of the Duplication dialog, so that I see your settings.
I just did a quick test and did not produce the problem you mention.