I've added the toggle then flex bar Nav Component to my index page and have customised it to my desired 'look' but I can't figure out how to change the link reference in each 'Text Link'. The first 'Text Link' links to the 'index' page when I preview the page in a browser but I can't even find where that link is set on the 'Design Page'.in RSD

Have I gone blind?

Make sure you have the text link, that you want to change, selected - either by double-clicking it, or selecting it from the Inspector pane; you will then see the Href input box (just above the automatic encoding check box); enter the required url in the Href box.

Happy with that but why doesn't it show the links already set? For instance the first of the 4 text links already has 'index.html' set when you view it in a browser but that is not shown in the Href input box!

When nothing is set, it defaults to the the page on which the menu is sitting. The CoffeeCup staffer can't know what page names or URLs you, or other users need, therefore nothing is set until you do it yourself.
What I would advise you is, create a 'symbol' with the menu, insert it on every page of your project, and then you can edit the links to what suits you.