To recreate this issue try to register custom page provider, publish page in it, create new page somewhere in the tree, go to Shortcut tab, select link type = 'Shortcut to page in EPiServer CMS', target the link to the page under the page provider's root, publish. Then open the 'shortcut' page in edit mode and link diappears.
I just talked with one of the developers at the core team and this is a known limitation since this link is only stored as an integer and not as a page provider aware link. Since the change requires quite an amount of database changes and upgrade scripts which will take some time to develop and test it has been decided not to implement this. If there are many people requesting this we might decide to implement this change for future versions.
Linus EkströmEPiServer Development Team
Just want to point out that we have customers requesting this "feature" as well.
This issue has been addressed and will be available in next SP release to CMS6.