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
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:
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.