When you use it by your own, then it works. But symbolic links are unusual in a windows environment.
Setting the mbed-os to a relative path works, it has to be done only in CMakeLists and the compile command.
CLI1 is no fun with large projects or when you add something like lvgl oder other libs that contain also example code. Then you need a lot of mbedignore entries.
Another solution is to use the mbed-ce fork. This allows also in a simple way to create projects for different targets and multiple apps with one mbed-os source. The compile time is also reduced and the integration in VSC works very well.