Looking at the actual link file with a hex editor shows that the file that is created programmatically contains a complete path for one of the attributes rather than a relative directory path like the manually created one.

It is interesting to note that the complete path supplied does not contain the drive letter, in fact windows seems to ignore that path completely since changing it does not affect the link at all. However it does require the filename at the end, if that gets changed the link will not work correctly.