Maybe I found a workaround (not found by me :) source)
I just go to an empty cell, control-click and select HYPERLINK. Click select to navigate to the file I want to link to since it won't let me just select a folder. Then I delete the file name (and any subfolders, if necessary) in the path until the path is only to the parent folder that contains my files. (I've found you can go far back on this if you need to, if files are stored in folders all over the place.) Then click OK and it will insert the hyperlink to that folder in the cell. Click the link, and a Grant File Access window pops up, click Select... navigate back to your parent folder and click Grant Access. Then the security window pops up, click yes and the folder opens. Now all the links I insert via the path name in that folder work.
This has worked for me on a few different spreadsheets with files in different drives and it is the best solution I could find so far, through trial and error. Hope it helps someone!
PROBLEM: you have to do this each time you open the file :(