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From what I could find out, this seems to mean it won't copy any "permissions" in the properties of that file. Don't think its a big deal. Also found out if you try the Copy command instead of dragging it, you might not get that error msg. I have never run into that error msg before, but, I don't use Drag N Drop ....hope this helps you David. :)
I tried Copy/Paste and Copy To.
Result : same message.
It does not stop me from using it from my ext. hdd. So, it is not a problem.
My ext hdd is in Fat32.
But the shortcut is merely a copy of an answer from a forum.
Correction : My ext hdd is in NTFS