It's a strange one. I got it when pinning Edge Dev from the startmenu entry.That is interesting. I cannot reproduce adding shortcut there. I even tried pinning Edge Dev shortcut to taskbar and the shortcut is created in :
C:\Users\Admin\AppData\Roaming\Microsoft\Internet Explorer\Quick Launch\User Pinned\TaskBar
Anyway, the ImplicitAppShortcuts location is a known Windows native location for shortcuts, so I can add it by default to H_C.
But after pinning Edge Dev to the startmenu first and then pin to startmenu from the tile, there is no more problem/warning and it's in another folder now I think...