Dear yjuydu gdtryfyg,
Thanks for visiting Microsoft Community. I am happy to help you.
I understand that when you delete photos you get the message “Delete photos permanently from your computer, they will not be placed in the Recycle Bin”.
What do you mean by shortcut? A normal shortcut is an arrow in the bottom left corner of the app icon. Your photos show a white cloud in the lower left corner. This symbol indicates that the file is available when online only, so when you logged into OneDrive in your new computer, these photos appeared on your desktop.
These photos appeared on your desktop because you turned on the Backup Desktop folder and set Online Only for these photos. This means that these photos are saved in your OneDrive and not on your computer, so they will not be moved to the Recycle Bin on your computer when deleted.
You can check the image below to see the status of the OneDrive files, I recommend you to set the image to “Always on this device”, after this setting these files will be downloaded to your device and take up your storage space, after the download you can try to delete these photos.

Save disk space with OneDrive Files On-Demand for Windows - Microsoft Support
You can check out this link to see if you can select the OneDrive folder you want to sync to your computer.
Choose which OneDrive folders to sync to your computer - Microsoft Support
Please feel free to contact me if you need further assistance.
Best regards
Miyeon.S - MSFT |Microsoft Community Support Specialist