UpdateLinks is a Workbook method and it is not possible to specify you only want to update links in a particular sheet so it's all or nothing in this case.
As an aside, when checking if a sheet exists or not, it might be simpler and faster to simply try and assign the sheet to a variable rather than looping through all sheets.
That can be easily extended to check a sheet exists in any open workbook.
The message can be suppressed by setting the Application DisplayAlerts property to False - not forgetting to turn on again, after.
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