Heh, i wondered about this exact thing some yrs ago, but the only way you can do this is with an NTFS junction. You would have to manage that outside of MC.
As times goes on, this can become quite a crow's nest, not to mention the fact that junctions are not reliably handled in win explorer, deleting a junction in win explorer deletes the file/dir pointed to !!!
So you would need more robust software just to manage that.
There is a way to create symlinks using cue files, but thats another very tedious process in itself. The backend is there, but there has been no will to implement a usuable front end to date.
In the end, i thought screw it, i'll just keep the copies, i prefer my albums complete in any case and self contained.
Now I'm not even sure if this shorcut thing is a practice to be encouraged, simply because of the maintenance headaches it causes.