If talking about Insight, I am using RoboCopy to bulk export files out of SharePoint using the webdav path for the source file.
Now in regards to preserving links, they should still work given that no one renamed files in Insight without updating the various files that may have referenced them.
One thing to note is that Solid Edge flips the internal SE security flag on the files to read only when it stores the file in SharePoint and it stays that way when you export it so you will need to run a status changer on all of your files that you want writeable. If their status is to stay as Released or Obsolete then you can skip those.
Production: ST10 MP7 Testing: SE 2019 http://Grundey.blogspot.com