Windows 2000: Network drives are much faster than network shortcuts

Microsoft WindowsI just noticed a small thing in Windows: Everything points to the fact that if I connect a network drive to a server directory (from the Tools... menu of the file explorer), the acess to this newly created drive letter (R:\) is much faster than access to its direct equivalent shortcut (\\Server\directory\).

I don’t know what is the underlying reason (I guess that there is some kind of specific optimization involved). If you know more, please, feel free to explain it to me here.