First of all, i found the reason why WinSCP default shortcuts can not by played in internet browsers (i mean audio/video files). It is because of the link is created in 'absolute way'. It works only when i MANUALLY change from 'absolute way' to 'relative way'. When it is done, it works! (None of shared server will give the 'absolute way' to the end user, because of the security).
So there is an easy solution: to implement into WinSCP the NEW setting to select 'absolute' or 'relative' way for creating of new shortcuts. This will definitely resolve the issue;) I plead for this feature. Because now i am stuck: i have to repair MANUALLY EVERY SINGLE shortcut -> i have to convert it from 'absolute' to 'relative' way... This new proposed feature/setting for WinSCP shortcuts will resolve this issue easily.