If you create an alias of a folder (located on a server) and drag it to the desktop, it works. For quick creation of aliases this way, press Option-Command while you drag the original item to the desktop.
Note : Accessing items of an folder’s alias located on a server has not worked in previous releases of InDesign too.
Which version of InDesign are you currently using and what is the operating system you are on? Does this happen in some specific cases or always for you?