I do recall Protection for my Desktop, Pictures & Documents folders was off for me when that feature first appeared (in 1803, I think). I turned it on after upgrading to 1809, & the full contents of those 3 folders moved from "C:\Users<Username><Folder name>" to "C:\Users<Username>\OneDrive<Folder name>". The original folders are still there, but empty.
OK. I'll turn Protection back off for Desktop & Pictures. Ah, it puts up this requestor...
So - right - the folders & contents remain on OneDrive (for one to fuss about oneself). New stuff gets saved back in the old location. Here is the original location before & after making a new picture (with the Snipping Tool)...
That shortcut (& the 3 folders also with a shortcut inside, but no files) got put there in the act of turning off Protection. It opens the OneDrive Pictures folder. But there are 3 other folders in OneDrive\Pictures that did not get copied. I don't know what's up with that.
Anyway... I'm going to manually cut/paste the full contents of OneDrive\Pictures & OneDrive\Desktop to their counterparts in the Users<Username> folder. I don't really see why I was protecting those two in the first place anyhow. I will delete the shortcuts too.