I don't have experience with pp, but a symlink is a directory entry on your machine. Your .exe won't have any idea about that. I didn't know (or would expect) that various scripts could "packed" into a single .exe. Each executable program would have its own .exe file. To the best of knowledge, there is no such thing as multiple exe's within one exe. Each script must have its own .exe.
Comment on Re: Symlinks with PAR::Packer not working on Windows
The .exe knows with what name it was called, that's how PAR::Packer knows which script to execute.
Windows shortcuts are different from links, because they are regular files interpreted by Explorer or cmd.exe, which means that the .exe is called with its actual filename, whatever the shortcut name is.