Windows has no problem with this. I have never seen this behavior in Windows Explorer or any other file manager. I have used many file managers over the last 30 years.
The shortcut is completely without any functionality.
I have tried Tools > File Links - Create (In the Menu):
The Windows link can be created in a very cumbersome way using this functionality:
1.) Assuming that it works at all: A file must be marked (-> "Example_1.jpg").
2.) First, the symbolic link must be selected ("A") to set a link to this thread, for example ("Example_2.jpg").
3.) Then you have to change to "B" ("Example_3.jpg") and only then execute it. This will then create a *.lnk file that refers to this thread.
This behaviour is - just similar to the dead functionality of the "shortcut" - very far away from the Windows standard behaviour.
In Windows it works like this by default:
1.) New link (Win_Example_2.jpg)
2.) Insert the target (Win_Example_2.jpg)
3.) Assign name (Win_Example_3.jpg)