Ciao e benvenuto . Il manuale di pdfpages dice:
When including pages of a PDF only the so called content stream of these pages is copied but no links. Up to now there are no TeX-engines (pdfTeX, XeTeX, …) available that can copy links or other interactive features of a PDF document, too. Thus, all kinds of links will get lost during inclusion. (Using \includepdf, \includegraphics, or other low-level commands.) However, there’s a gleam of hope. Some links may be extracted and later reinserted by a package called pax which can be downloaded from CTAN
quindi direi niente hyperlink.
Non capisco che vuol dire che perdi lo stile se crei a mano gli indici.
Ma se i documenti pdf sono creati in LaTeX, non hai i sorgenti a disposizione? In caso potresti creare un unico sorgente senza più problemi!