When creating GPO Preference shortcut using the “File System Object”, you might get the following error in the Event logs.

The computer ‘<Name> preference item in the ‘<Policy> {GUID}’ Group Policy object did not apply because it failed with error code ‘0x80070002 The system cannot find the file specified.’ This error was suppressed.

Usually this is because of mistyped path or when using variable in the path, the variable was not set on the machine. Double check those. If still doesn’t work, you might want to change the type to “URL” instead of “File System Object”.

Group Policy Shortcuts : Link

TechNet Link with other solutions: Link