This is about as inelegant as you can possibly get, but maybe it will provide a useful suggestion somewhere along the line.
It does not use cleveref for the case in which a PDF is included at the very end of the document because I could not figure out how to get that to work. Instead, it uses standard \pageref for that case with a reference provided by pageslts.
For this to work, you assign a tag to each file which is used when adding the link and then when including the PDF. So a wrapper is used for \includepdf. On the positive side, this means you don't have to add the pagecommand explicitly. (You have to add a tag instead.)
\includelinkedpdf{<tag>}[<options>]{<file>}
includes the PDF and adds a great many labels. Note: it adds more labels than it adds pages. It also adds a label on the first page following the PDF, if there is one. (This is why there's a problem if the PDF is the last one in the document.)
\AddLinkToFile{<tag>}{<text>}{<file>}
adds the link. The link for the first page is straightforward. The link for the final page uses a set of labels placed on the pages of the included PDFs. Each one has a label of the form pg:p<no> starting with 1. The command takes the <tag> End reference and gets the standard page number for that reference, if any. If the page number is 0, we assume this is the last thing in the document and use pageslts's label. Otherwise, we subtract the page number for the reference pg:p1. We then set a counter to the result and use it to create a link to pg:p<result>. Which ... er ... seems to work ... possibly.
Note that hyperref wants to be loaded last with certain exceptions, notably cleveref. pageslts says to add plainpages=false,pdfpagelabels=true, so I did that. pageslts will give an error if \pagenumbering{} isn't set, so I've added that to \begin{document}.
If you don't want page numbers to be displayed on the included PDFs, use \pagestyle{empty} in place of \pagestyle{plain}. If you use \pagenumbering{gobble}, compilation will fail with an error.

\documentclass{article}
\usepackage{xparse,pageslts}
\usepackage{graphicx}
\usepackage{pdfpages}
\usepackage{xcolor}
\usepackage{lipsum}
\usepackage{xstring}
\usepackage[export]{adjustbox}% http://tex.stackexchange.com/questions/6073/scale-resize-large-images-graphics-that-exceed-page-margins
\usepackage[plainpages=false,pdfpagelabels=true]{hyperref}
\usepackage{cleveref}
\AtBeginDocument{\pagenumbering{arabic}}
\makeatletter
\NewDocumentCommand{\AddLinkToFile}{%
m% #1 = tag
m% #2 = text to display
m% #3 = file to open upon clicking
}{%
\edef\ExpandedFileName{#2}%
\IfFileExists{"#3"}{%
\hspace*{1.0cm}File: \href{run:\ExpandedFileName}{\textcolor{blue}{#2}}%
\IfEndWith{#3}{.pdf}{% .pdf files has a page range
\hfill
\edef\tempa{\hypergetpageref{#1 End}}%
\ifnum\tempa=0 Pages \pageref{#1 Start} to \lastpageref{VeryLastPage}%
\else
\edef\tempb{\hypergetpageref{pg:p1}}%
\setcounter{grill@pg}{\tempa}%
\addtocounter{grill@pg}{-\tempb}%
\Cpagerefrange{#1 Start}{pg:p\thegrill@pg}%
\fi
}{% non .pdf files are only a single page.
\hfill\Cpageref{#1}%
}%
}{%
\hspace*{1.0cm}File: \href{run:\ExpandedFileName}{\textcolor{orange}{#2}}%
\typeout{**** Warning: Failed to link file "\ExpandedFileName".}%
}%
}
\newcounter{grill@page}
\setcounter{grill@page}{0}
\newcounter{grill@pg}
\setcounter{grill@pg}{0}
\NewDocumentCommand\includelinkedpdf { m O {} m }{%
\def\makefirststyle{\phantomsection\label{#1 Start}}%
\def\makedynstyle{\makefirststyle\thispagestyle{plain}\stepcounter{grill@page}\phantomsection\label{pg:p\thegrill@page}\global\let\makefirststyle\relax}%
\includepdf[
pagecommand={\makedynstyle},
#2,
]{#3}%
\phantomsection\label{#1 End}%
\clearpage
}
\makeatother
\begin{document}
\AddLinkToFile{kant}{Kant 1}{kant.pdf}
\AddLinkToFile{eiffel}{Eiffel 1}{example-image-a.png}
\AddLinkToFile{lipsum}{Lipsum 1}{lipsum.pdf}
\includelinkedpdf{kant}[pages=1-last]{kant}
\includegraphics[max width=\linewidth,keepaspectratio=true]{example-image-a}\label{eiffel}
\includelinkedpdf{lipsum}[pages=1-last]{lipsum}
\end{document}
EDIT
In the above, the tags are simply used to create the labels at Start and End. If you're confident the filename is safe to use, you can obviously use that or make that a default with an optional override.
In the code below, I make specifying the tag optional in this way. For the PDF inclusion the optional argument is delimited by () because that macro already has a regular optional argument. Obviously this can be tweaked to suit.
The main point of this edit is to show how to do without the additional \labels on each page of included PDFs. The code assumes
- that pdfTeX is used to compile;
- that every page of each included PDF is used.
In this case, we can count the pages using \pdfximage. This avoids the need to create End labels. We can avoid the additional labels on each page by relying on the mechanism hyperref uses to enable indexing. This adds an anchor on each page which index entries access as \hyperpage{}. I'm not sure how to get this working with cleveref, but I don't know that package very well.
\documentclass{article}
\usepackage{xparse}
\usepackage{graphicx}
\usepackage{pdfpages}
\usepackage{xcolor}
\usepackage{lipsum}
\usepackage{xstring}
\usepackage[export]{adjustbox}% http://tex.stackexchange.com/questions/6073/scale-resize-large-images-graphics-that-exceed-page-margins
\usepackage{hyperref}
\usepackage{cleveref}
\makeatletter
\NewDocumentCommand{\AddLinkToFile}{%
o% #1 = tag
m% #2 = text to display
m% #3 = file to open upon clicking
}{%
\IfValueTF{#1}{%
\edef\grill@tag{#1}%
}{%
\edef\grill@tag{#3}%
}%
\edef\ExpandedFileName{#2}%
\IfFileExists{"#3"}{%
\hspace*{1.0cm}File: \href{run:\ExpandedFileName}{\textcolor{blue}{#2}}%
\IfEndWith{#3}{.pdf}{% .pdf files has a page range
\pdfximage {#3}%
\setcounter{grill@pg}{\the\pdflastximagepages}%
\edef\tempa{\hypergetpageref{\grill@tag Start}}%
\addtocounter{grill@pg}{\tempa-1}%
\hfill
Pages \pageref{\grill@tag Start} to \hyperpage{\thegrill@pg}
}{% non .pdf files are only a single page.
\hfill\Cpageref{\grill@tag}%
}%
}{%
\hspace*{1.0cm}File: \href{run:\ExpandedFileName}{\textcolor{orange}{#2}}%
\typeout{**** Warning: Failed to link file "\ExpandedFileName".}%
}%
}
\newcounter{grill@pg}
\setcounter{grill@pg}{0}
\NewDocumentCommand\includelinkedpdf { d () O {} m }{%
\IfValueTF{#1}{%
\edef\grill@tag{#1}%
}{%
\edef\grill@tag{#3.pdf}%
}%
\def\makefirststyle{\phantomsection\label{\grill@tag Start}}%
\def\makedynstyle{\makefirststyle\thispagestyle{plain}\global\let\makefirststyle\relax}%
\includepdf[
pagecommand={\makedynstyle},
#2,
]{#3}%
}
\makeatother
\begin{document}
\AddLinkToFile{Kant 1}{kant.pdf}
\AddLinkToFile{Eiffel 1}{example-image-a.png}
\AddLinkToFile{Lipsum 1}{lipsum.pdf}
\includelinkedpdf[pages=1-last]{kant}
\includegraphics[max width=\linewidth,keepaspectratio=true]{example-image-a}\label{example-image-a.png}
\includelinkedpdf[pages=1-last]{lipsum}
\end{document}
The output is the same as before.
\labelon the first and last page of each included PDF? At least putting one on the first page should be relatively straightforward, shouldn't it? I take it you want the number within the included document, that is, and not the original page number. – cfr Sep 17 '16 at 16:13cleveref, though you'd still need a lot of labels. (But maybehyperrefprovides an option for this in that case. Or maybe you could use that anyway. I don't knowhyperrefwell enough to know.) – cfr Sep 18 '16 at 01:30pages=1-last). Won't have any case where I only include certain pages. I had just gotten everything working in my example (except for the reference to the last page of the included pdf) and was about to edit the posting. But, since you posted an answer, I will try to make sense of that first and it might solve my last issue (before the attempt to automte this). – Peter Grill Sep 18 '16 at 01:49pagesltsreference for the last page of the document, I think, because you can count the pages and then calculate the appropriatepg:p<number>using the page number of the first page and the number of pages. However, if you've solved it in some other way, I'm not sure how much use my answer is anyway. Do you want me to delete it? – cfr Sep 18 '16 at 03:18pdfpagesdoc. Hmmm, I guess I could use thepagecommandoption to increment a counter for each page. – Peter Grill Sep 18 '16 at 04:07pagecommandand use\pdfximage. (This may work with e.g. LuaTeX, but I am not sure about this since many of the\pdf...things have disappeared in the current version.) However, I am not sure how to make it all work withcleveref. – cfr Sep 18 '16 at 13:30\pdfximage... – cfr Sep 18 '16 at 13:32