Windows shortcuts are not the same as Linux symbolic links
To create a real symlink use the mklink command in a command prompt window. It’s a PIA and cumbersome to use.
There is a LInk Shell Extension Utiity that’s very easy to use.
The symlinks made with this extension are like LInux symlinks. The link can dropped from the file manager directly on the source viewer, playlist panel, or timeline. They behave like the actual video, image, or audio file(s).