i was wrong, it's not a bug.
It's a missing feature. I knew about it, but i forgot. Handling this case is not as easy as it seems, requires some extra effort, not only programming but by the computer, much more disk activity. I won't bore you with details.
I don't exclude to support this in the future, but as an option, as it may slow down the server a bit.
Anyway, at the moment you can already get the same result by using "junctions" instead of shorcuts. They are similar, but most file managers don't offert this feature. When i needed to make one i just did it using "junction.exe" (by Microsoft) at command line, so i cannot just advice one now.