I honestly have never used the Save As/Include all referenced components option.
I have always used Pack and Go.
But, I tried it, I see the problem. It does not copy the components, but saves the references of the components within the assy.
I don't see the purpose of this. Maybe others here see it?
The Save as function works fine for me.
When you use the Advanced option to select the destination folder, are you selecting the Save all as copy option?
The Find References function just lists the references for visual use. It looks similar to P&G, but doesn't have the same abilities.
When I choose the Advanced option from Save As (Include all referenced components), I get a copy of my sldasm file in my destination folder. Nothing else, no referenced parts go along with it.
That said, I just tried it three times.
Attempt #1 I got only my assembly copied into the new folder.
Attempt #2 and 3 I got a copy of my assembly, and all of the associated parts...
I've tested this on a few PCs, and I've had other people get the same result, so I don't think I'm going crazy. I'll keep playing with it and see if I can narrow down how/why it seems to work sometimes and not at others.