Try putting the user NT SERVICE\TrustedInstaller in the dialog. That should change it back.
I worked from home one day last week (an unusual event for me at the moment) connecting to work through a VPN. I created a desktop shortcut to an application on the server.
After several restarts and log-on/off cycles the desktop shortcut was still there (without me having reconnected to the VPN). I eventually deleted the shortcut manually.
So, as evildictaitor said, it looks like Win7 is smart enough to keep shortcuts to networked resources.
It's not something that happens immediately. It occurs as part of a scheduled weekly maintenance task. If there are more than four broken shortcuts on the desktop (it does not matter what the target is -- local file, local folder, UNC path, whatever), the scheduled task deletes them.
So when the CFO, with shortcuts to network locations (crystal reports folder, budget spreadsheets, department specific budget folders, whatever), goes on vacation and takes her laptop with her, she will come back to work, try to open the shortcut to a document, notice that the shortcut is gone, and have to find the target, wherever it is, on a network with tens or hundreds of file shares. For all 5+ of these locations.
Deleting shortcuts should not be default behavior by a background maintenance task that requires manual deskside intervention by a system administrator to turn off.
And believe it or not, lots of business applications are both live and run from network locations. The CFO above would be mighty pissed if she can't find the shortcut to the fixed asset application that she needs to run after coming back from vacation.
You may not think there is a valid reason for shortcut targets to be temporarily unavailable (even if temporarily is 8 days or more), but that's simply not reality.
Edit to add:
In Before "Shortcuts to network locations" and/or "vacations" are labeled as "corner cases" or "power user" (with 'power user' being defined as 'computer geek') features.