UEM 9.2 which is quite old and end of general support now.Not related to current issue but wanted to update you to upgrade UEM to 9.11 .
Do you see the same error for all the shortcuts created on desktops Or is it happening for specific ones?
What if you manually create a shortcut while you are connected to a session and delete it?
I suspect you will not be able to even 'rename' the shortcut if it is a permission isuse. Desktop is getting redirected and user should have full control over it. Try disabling any third party antivirus or security software and check. Confirm the security permission on the shortcut once.
If issue still persist, check if UAC is enabled or not. If it is enabled, disable it with the help of your AD team and test.
Thank you for response. Definitely planning to update but trying to get migrations done first. Issue seemed to be permissions not set correctly on the DEM profile share.