The saved project file does contain the links of ALL files used in the timeline, but also of ALL files that are in the project media-room. It also contains the links and additional information for titles, subtitles, LUTs, etc. etc. As far as I know and have seen, there is no other place where CL keeps project-related information. The project files also contains a record of all the editing you have done, without touching the original files.
Once you open a project, it will make the files available in the media room and in the timeline, as they were at the moment of the project save, using the links recorded. If a file is not found at the place where the link points to, PD will show a message and allow you to browse (or ignore, or ignore all). You may have seen that, otherwise give it a try.
PD gives this not found, browse or ignore (ignore all) message for each of the files not found. In subsequent not found situations, PD will also look in the folder where previous files have been found, and automatically include and make them available.
Have look at:
https://help.cyberlink.com/stat/help/powerdirector/21/win/enu/04_00_00_pdr_projects.html?q=project+file