I managed to get a complete API spec with correct references, by writing a little script that gets the entrypoint url and then resolves all JSON references, while I run a simple proxy server on localhost that redirects to developer-specs.company-information.service.gov.uk. I ended up with a single large API spec file. I know it sounds a bit ridiculous to do all this, but it worked for me.
Unfortunately I found that the response formats in the API spec do not always match the actual response formats of the API and there are inconsistencies and spelling mistakes in the API spec. Don’t rely on it as being perfect.