Have a software restrictions policy setup to default to disabled and lnk are included in the designated file types.
Exe's are blocked ok however lnk shortcuts files are still allowed through. I've set enforcement to all files and have not added any exclusions for dekstops or any other drives.
It seems you can open lnk files from any drive.
Just tried adding *lnk as a additional rule with disallowed chosen but lnk files still work.