By default, windows client doesn't support shortcut. In cloud world, we can't guarantee the shortcut is always valid. For example, one user creates a shortcut on machine 1 and points to a local file. If the shortcut is stored in cloud, when login windows client on machine 2, the shortcut will be invalid. When access the folder, windows explorer will try to resolve the shortcut, which will slow down the client.
For some users, they do want to store shortcut on the cloud. In that case, for the tenant, go to group policy, client settings manager and check 'Allow shortcuts'. After that, restart windows client. It will read the new setting and allow shortcut to be uploaded to cloud.
Notice: Enable shortcut might slow down the windows client, especially when there are invalid shortcuts.