Hey there @Doc A.1 - thanks for posting your question here and I hope my message finds you well!
As you pointed out, these files would indeed be useless on other machines other than the original, the one that they were created on. From what I understand, it appears that in some cases you've added a shortcut to a file rather than the original file into your Dropbox folder and Dropbox will sync the shortcut (lnk file) as a shortcut, rather than the file that the shortcut points to since files of type .lnk are Windows shortcut files and are mere pointers (in Windows) that point to your original files.
As you also outlined, Dropbox can't follow these links, so you'll need to place the original files into your Dropbox folder in order to sync them normally.
If Dropbox is running the Dropbox syncing icon will cover the shortcut icon, so you may need to quit Dropbox temporarily if you want to check on the files you currently have stored in your Dropbox folder.
I hope this information helps and please let me know if you have further questions. Thanks!