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I have also seen the Moz system need time to find links after I added a new site to a campaign recently however also be aware that as vast as SEOmoz's data set is, it's not the entire web. And in reality, no single link reporting solution in existence currently (even Google's) is going to show you all of the links that might be pointing to your site.

The main negative is any inbound links to the previous URL will lose some link juice. However, after time search engines will no longer index the previous URL, just the one that you are redirecting too. If you want to speed the process up, try and submit a new XML sitemap to each search engines' webmaster tools.