Shortcut to Shortcut

I tend to create several shortcuts to programs on my PC. The mouse-button-2 (aka "Right" mouse button) has choices "Copy here" and "Create Shortcut here", amongst others.

Is there any documentation on the relevant merits of copying vs. create-here shortcuts?

 

I presume if you  copy a shortcut, then you end up with two of them, but changes to one wouldn't affect the other (like dressing your twins in distinct outfits)

 

But what happens if you create a shortcut to another shortcut? And if you then create a shortcut to the shortcut you just created? Do you get long shortcut chains? Does windows end up chasing through these chains until it comes to a shortcut that points to something concrete?