I got this update from One Drive support.
We understand that you are experiencing issues with shared files are showing but it opens as an internet shortcut link in file explorer. Actually, this is an emerging issue. We understand that this is not ideal and apologize for any inconvenience this may cause.
We have checked with our engineering team, and they acknowledged the issue, and have filed a bug for the same. It is in our development pipeline now and will need to be resolved with a product update.
At this time, we do not have an estimated time of accomplishment (ETA) for the resolution of this issue. However, we recommend you access the shared folders from OneDrive for Website https://onedrive.live.com for now. Your feedback is important to us. After this interaction you will receive a separate closure email with an opportunity to tell us about your experience.
We want to say thank you for helping us out to track this issue down and we should have a fix out soon, no specific ETA as we are still coding the solution.
Please accept our heartfelt apologies for any inconvenience this may have caused. Though, we were unable to resolve this issue, we remain at your service for any future assistance you may need, and we would be more than happy to help with any other concerns. Your satisfaction is of great value to us, and we are always here to support you in any way we can.