But shortcuts came about with Win 95, where there was no NTFS. They're just legacy concepts that we can't easily get rid of. I will say that it would be nice if the graphical shell would start to provide us with the ability to work with junction points of all kinds... though there's many users that wouldn't understand the variations and when to use what, leading to rants like this one from Jaime. 
Jaime, you've got a point here. The feature you'd like makes some sense, and shouldn't be overly difficult to implement. However, you're missing the point of all of the other posts here. You're asking for something that doesn't exist in order to solve a problem you have today. There's a solution for the problem you have today, even if it's not in the manner that you'd like. That doesn't make your idea bad, but after suggesting it, it's rather pointless to argue with the folks who are trying to help you solve your problem the way it can be solved today. Who knows, if you embrace the existing solution, you might find yourself less interested in old habits.
BTW, you can get very close to what you want today. Create a library for these folders, then put a shortcut to that library on the desktop. Not exactly the same thing, but probably close enough for your built in habit of using the desktop to hold shortcuts.
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