While it is not possible for a filter to remove a shortcut to an archived item, it is technically possible for EV to create shortcuts for archived items in some folders but not in others.
Enterprise Vault Policy Manager (EVPM) allows you to create discrete filters and assign them to specific folders in a mailbox. The most common use of this is to force items from certain folders to archive with a non-default Retention Category, but it is important to remember that a full range of archiving options are available to be set using these filters. Pretty much everything that you see on the "Archiving Rules" or "Archiving Actions" tab of an Exchange Mailbox Policy is settable via EVPM on a per-folder basis. This includes whether to create shortcuts, whether to delete original items, or whether to archive the items at all.
If you have full functionality enabled for the Outlook Add-in, then users will also be able to alter for specific folders any of the settings that are not locked on the "Archiving Actions" tab of the Policy.
To determine whether a folder has customized filter settings, use our Outlook Add-in. In Outlook, select the relevant folder in the navigation pane. Then CTRL-Shift-click on any of the EV toolbar buttons. From the resulting Enterprise Vault Diagnostics dialog, click "Vault Information" and scroll towards the bottom. There should be a section titled "HIDDEN MESSAGES IN FOLDER" that will list any customized filter settings applied to the folder.
I can't say whether a stray hidden filter message is necessarily the cause of your issue; it could be caused by something external to EV too (Exchange Managed Folders, for example). I just wanted to weigh in because folks were saying it wasn't possible. It's possible.
--Chris
