That might be a bug in windows where it sees a link file as it’s linked file. I’ve not seen tgat myself but i don’t tend to keep program shortcuts on my desktop.
Sadly i don’t think there’s a way to tell onedrive to ignore a file or at least I’ve never found one.
Edit i found this with a simple search
https://answers.microsoft.com/en-us/windows/forum/all/lnk-shortcuts-will-not-sync-in-onedrive/a74d0231-96d6-4b74-9600-620435eafd94