For the “Add shortcut to OneDrive” feature in SharePoint, you can sync your Microsoft SharePoint files (library) to your OneDrive. You could access the SharePoint library in OneDrive directly. Also, if you use the OneDrive application, you could see the library folder in File Explorer. Below is the step on how you can "Add a Share Point Sites as a Shortcut in One Drive"

Step 1 : In Share Point Sites, select "Add shortcut to OneDrive"

Step 2: Once you perform step 1, then you will see a notification on the top right corner mention that shortcut of the SharePoint site already created in One Drive

Step 3: You will see "SharePoint Site Shortcut" folder with Share Point Site Names created in One Drive

Step 4: You may access all folder and files SharePoint Sites at One Drive easily.