With the Add shortcut to My files button in a SharePoint library, you can create a shortcut to a SharePoint folder in your OneDrive for Business.
Shortcuts to My files are not supported by the Migration tool.
When migrating, ShareGate's migration tool sees these shortcuts as regular files and migrates them as such.
However, the migration tool cannot perform the operations necessary to transform these shortcut files back into a shortcut at the destination.
You'll have to make sure the associated content these shortcuts are pointed to is available at the destination, and your users will have to recreate their shortcuts manually.