Yeah, luckily I've never had too many shortcuts to network stuff. I did know about the whole "deleting the link kills the data" glitch, but I never had any reason to delete it. My setup was that the actual folder was my 3.9/songs and the link was my 4.0/songs folder, and really, a single install of SM without songs barely takes up any space, so even though I never played on 4.0 (had some major performance issues when I was using it), I never had any reason to actually delete it.
And yeah, since I regularly travel between my home network (with Z:\ mapped to my 1TB storage) and the college network (and occasionally my GF's network), it would be a pain if explorer locked up all the time because of the location no longer being there. Plus, I bet that if the XP explorer had it listed in the favorites (or something like my trusty "Favorite Links" pane) it would lock up every time I opened a folder, which would basically cripple my machine.
Also, I'm not sure if this is as functional in XP, but I love the ability to tell Vista to remember and automatically connect to numerous networks. There is one thing I have been kinda wishing for though. I wish that you could have each network define it's own connection settings, such as IP address, DNS servers, etc. As it stands you're kinda locked into 2 options, and that only works if one of the networks allows DHCP. If I wanted to take my laptop into another network that had static IPs for every computer, I'd have to go in and change my settings, and that's a pain in the ass.