I did a test using CP 5.8 and CM 9.4 and it worked. I was able to click the link shortcut and it launched the CM web client and took me to the file.

Try the following:

Open the link shortcut file created using notepad.

Then copy the full http reference and paste into a browser.

Check if you see a RELOCATED ITEM page

e.g. 

RELOCATED ITEM
Redirect to relocated item
This item has been moved. You will automatically be redirected to the new location in 3 seconds.
To access this item at its new location, please click the link below:
http://<CMServer>/contentmanager?uri=5031&t=record&lang=ln_english&mbd=false

This automatically redirected within a few seconds to display my file in the web client.

If you are still having issues I would recommend you raise a support call.

I did a test using CP 5.8 and CM 9.4 and it worked. I was able to click the link shortcut and it launched the CM web client and took me to the file.

Try the following:

Open the link shortcut file created using notepad.

Then copy the full http reference and paste into a browser.

Check if you see a RELOCATED ITEM page

e.g. 

RELOCATED ITEM
Redirect to relocated item
This item has been moved. You will automatically be redirected to the new location in 3 seconds.
To access this item at its new location, please click the link below:
http://<CMServer>/contentmanager?uri=5031&t=record&lang=ln_english&mbd=false

This automatically redirected within a few seconds to display my file in the web client.

If you are still having issues I would recommend you raise a support call.