After a support ticket on this issue, i was assured that this is an issue they know about and are working on.
However no time estimate for a fix was given.
Issue
Some OneDrive shared folders shortcuts located in your My Files folder may show up as .url internet shortcuts instead of actual folders.
If you try to open the folder shortcut, it opens as a webpage (and you may be asked to sign in) instead of a folder.
Status
We are aware of the issue and are working on resolving it. The .url internet shortcuts will automatically convert back to a folder when the issue is resolved.
You can still access the shared folder content, but it will be via OneDrive.com