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Q: Why does the planet download have ways that reference nodes that are not in the same file?
A: Due to performance reasons it isn't possibly to get a fully consistent snapshot of the database. Although the dump is run in a transaction, the isolation level required for a "snapshot"-style dump dramatically increases the running time. You might find that, if you have been editing while the export has been running, that the way may be in there but the nodes are not. You can take a planet file and apply the daily diffs using Osmosis to create a consistent planet file (however you may still have some problems with old bad data in OpenStreetMap from before the introduction of the API 0.6).
Q: I would like to set up a copy of OSM DB only for a small region and then keep it up to date with the replicates
You will need to apply the full diffs and afterwards cut off anything you're not interested in.
If you intend to do it for a rather small area then it is really quite easy and performs well with Osmosis. Assuming you have a current extract of your area in "current.osm" and you have the Osmosis replication set up properly (--rrii), then you simply run
osmosis --rri --simc --rx current.osm --ac --bb left=42 right=42 top=42 bottom=42 clipIncompleteEntities=yes --wx new.osm && mv new.osm current.osm
as often as you like (adapt the 42's in the bounding box).
Q: Why does the country extract have ways that reference nodes that are not in the same file?
A: This is perfectly normal depending on the settings used in the extraction process. There are two options; either the ways at the boundary have been truncated (such as in the GeoFabrik downloads), or the nodes are just missed out and the ways are left as is (for example the CloudMade downloads).
Q: In that case, what should I do when using OpenStreetMap data?
A: This really depends on what you are doing with the data. You can either drop the node references or you can go to another data source, such as the API, to fetch the missing nodes.