I was thinking they may not play nicely together, but it so makes sense for them to well work together: Cross page references need to account for page reflow, and these very references are likely to be used as document level links. Now they are working, somewhat. But they only allow the cross referenced copy (page XX) to be the link. Not a longer string of copy.
Here is my process:
With insertion point in text
1. Select 'Insert New Cross Reference':
http://cloud.acquazzone.net/image/3Z4015322h0d
2. Highltight text with the cross reference.
http://cloud.acquazzone.net/image/0w0r1v2a0m3g
3. Select 'New Hyperlink Destination'
http://cloud.acquazzone.net/image/1M0y2N3C153q
4.Select 'Page' as type.
http://cloud.acquazzone.net/image/1o1N0E2W1Q3E
Also, if there is a clear explanation detailing hyperlink and hyperlink destinations, I would enjoy reading that. TBetween the naming and the interface, it's a bit confusing.