I'm able to run this shortcut from my desktop w/o any issue. It's a link to OneDrive for Business. The shortcut launches Windows Explorer with my files and folders listed. (I plan to incorporate this into a login script so users can access their OneDrive for Business files from Windows Explorer Favorites w/o having to map a drive or use OneDriveSync.)
When I save this shortcut to c:\users\myusername\links (Windows Explorer Favorites shortcuts), and try to launch it from Favorites it launches Windows Explorer, but doesn't show my files.
If I first click Favorites at the top of Windows Explorer so my shortcuts are on the right side and then launch the shortcut it displays the files.
If I remove "%windir%\explorer.exe /e" the %username% saves as my username.