I found another thread with a user with the same problem and looks like it is a corruption on the permission of the files. Changing the permission of the files should fix the problem.
1-Click on Start, search for Command Prompt
2-Right-click on that and select "Run as Administrator"
3-Paste this command and press Enter:
icacls "c:\Users\zick1\Favorites\*.URL" /t /setintegritylevel m
4-You should see a result like this "Successfully processed files"
5-Then you should be able to access the shortcuts without the warning.
You can see the entire thread at this link.
https://answers.microsoft.com/en-us/windows/for...
All SIDs that are prefixed by S-1-15-3 are capability SIDs which are accounts created by apps to grant access to some resources. They are shown as "Account Unknown" because the app was already been uninstalled.
You can see this information in the link below.
"Capability SIDs
Capability security identifiers are used to uniquely and immutably identify capabilities that represent an unforgettable token of authority, which grants access to resources (for example, documents, camera, and location) to Universal Windows Applications. An app that has a capability is granted access to the resource that the capability is associated with, and one that doesn't have a capability is denied access to the resource.
All capability SIDs are prefixed by S-1-15-3."