The purpose of File > Open in any editor (including SQL Developer, Notepad, etc) is to edit a file. Since folders cannot be edited, selecting a folder in the file selection UI just opens the folder for selection of a file or another folder within that folder. Shortcuts, on the other hand, can be edited. So opening a shortcut (or dragging and dropping it into a worksheet) just opens it for editing.
It is only the OS level user interface that treats a shortcut to a program or folder in the way you are expecting.