@Annilal, Thanks for posting in Q&A. For the error message, it seems the shortcut is trying to access network resource. But it is unavailable. It seems the issue is not on Intune but on the application itself. You can manually install the MSI on one device to see if it has the same issue.
To fix this, you can contact application support or ask your network engineer to capture network trace to find out which network resource it is trying to access.
Then check your network or firewall to ensure the network resource is allowed to access.
Hope the above information can help.
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