The OneDrive interface has recently been redesigned. Some things are a bit hidden, some things have been forgotten to be displayed. They forgot the shortcuts. Shortcuts to folders looked like normal folders. (left picture).

I reported the bug to the Microsoft product group in Redmond and with build 16.0.4 (currently in preview, Apple calls it :Testflight) they are back (right picture).

The design is debatable, but I liked the shortcut icon under Windows Explorer better.