Windows has been keeping track of shortcuts for quite some time, though it has gotten smarter over the years.
In Windows 95, if you tried to use a shortcut to a file that doesn't exist, Windows would search neighboring directories for files with properties (e.g. creation time) similar to the missing one. If you moved the file too far in the folder hierarchy from its starting point, Windows would likely give up before finding it.
In Windows NT, Microsoft introduced NTFS, which is better than FAT32 in a lot of ways. Relevantly, it can assign each file and volume an object identifier. When a shortcut is broken, Windows looks up the object identifier, which remains constant no matter how much you move or rename a file inside one volume.
Further reading: Tracking Shortcuts by Raymond Chen.
In Windows 2000, Microsoft added the Distributed Link Tracking Client service. This service keeps an eye on moved files. When you move a file across volumes (thereby changing the object identifier), it makes a note of the original location and the new place. If an object identifier lookup doesn't fix a broken shortcut, the Distributed Link Tracking Client service can find it on a different drive. Observe that if you stop that service, intra-volume fixups will still work, but cross-volume moves will actually break the shortcut. On a domain, this client service works with its counterpart on domain controllers, Distributed Link Tracking Server, which can help find a missing target even if it moved across computers.
Further reading: Distributed Link Tracking on Windows-based domain controllers.
There do not appear to have been changes to this architecture recently. I also see this behavior on Windows 10. For what it's worth, shortcut tracking behavior can be changed with the policies mentioned in the Tracking Shortcuts article.