I'm not sure if it's possible to do it via the GUI. Here're the commands for terminal:
ln -s /path/to/directory LinkName
Here, the ln command creates a symlink (symbolic link) with the name LinkName to the original directory or file, which is like a shortcut. But it actually doesn't open the original directory.
I created backup.desktop in /home/pi/Desktop with the code you posted above. I only changed the folder name from /mnt/elements to /home/pi/Test (since I do not have a /mnt/elements, you will need to make sure whichever folder you use exists and is available when running the script - e.g. that the drive is connected to the Pi). It ran just fine when clicked, ...