Internet Explorer cannot open url in local Windows network share

Question

Windows Server 2012 R2 as a domain controller
Internet Explorer 11 64/32
Favorites are redirected to a Windows network share (on the server itself)
Issue: When clicking a favourite redirected to the Windows network share, IE does nothing. 
For testing purpose,
I double click a .url file in redirected Favorites (e.g.
\\domain_controller\profiles\username\Favorites\website.url), IE opens with a blank page. 
If the .url file is placed at local drive or a Samba share (e.g. in a Synology box, probably it does not really matter as long as it is a network share residing in another computer), IE works fine.
The issue applies to every one (probably except Administrator) logged on the domain controller.
I tried reset IE.  It did not work.
Favourites redirection works on Windows 8.1 client computers in the domain.
Pinned Site Shortcut (.website) file works everywhere
When Enable Protected Mode in Internet Options\Security\Internet is disabled, IE can open .url file in a Windows network share.  But it is probably not a good idea to permanently disable it.
Any suggestion on fixing the issue?  Thank you.

Answer 1

tried ProcMon, the events captured are enormous even after I filtered out those I am sure do not matter.  It was hard to spot what went wrong if I don't know what to look for. 
Which is why I made the suggestion to filter coarsely and wait for a divergence in your two nearly equivalent traces.   <eg>
Otherwise, if you are only looking at one trace but think that there is a possibility that some diagnostics may have been written, filtering with 
Operation Is WriteFile  is often very handy.  With that filter you can also use the Count occurrences... tool for the number of distinct  Path  values which were involved.
In fact, now that I have reviewed the symptom description, filtering coarsely might also mean using only the File Access events and filtering with  Path Contains Fav   Do that with each of your traces and see where there is a divergence. 
Then turn the filter off at that point or perhaps just add Registry events at that point (e.g. use the button but leave your filter for  Path in place).  Etc.
Good luck
Robert Aldwinckle