I have set Mozilla to save to the desktop as default and also to prompt for location, so I get a dialog box that allows me to edit the url and location.

If I save without editing the name the link works with no warning. The security warning appears only after i rename the shortcut.

The file save dialog box should default to *.url as opposed to *.*

Not clear why I can not edit the saved URL but can edit the ones I drag to the desktop. Not yet clear if it's useful if I loose the favicon and need to accept the security warnings. Rather a bit more work to set up something I will frequently use to work and display right.