(Also note that in this case you don't need symlinks per se, just identical binaries with hardlinks. Each executable could inspect argv[0] and figure out what it's invoked as, and behave accordingly.)
What I don't understand is why can't they just bundle everything into a single DLL, then make whatever stub executables they want just call the exported main() in that DLL. I think that might be what MSYS2's copy already does, though I haven't checked. That DLL wouldn't need to export anything else, just the main() function that each .exe stub would forward to. And it can handle everything else internally if it so desires.
Symlinks have been supported since Vista, though by default creating a symlink does indeed require Admin rights. Hardlinks can be created by anybody and are extensively used by Windows itself.
I'm not aware of even Windows 10 or Windows 11 being able to create Symlinks on FAT32 and exFAT, but I could be wrong? But it doesn't matter, the code as written is cross platform, it works on Apple Journaled File Systems, APFS, exFAT, etc. We then compile it for Macintosh, compile it for Windows, and compile it for Linux.
We can then spend extra time and carefully detect each filesystem and each platform and then make the optimization if we can. And this is a valid criticism that we have not done this yet. But no matter what we need this general code that will always work FIRST, what the links are is a space optimization to save valuable SSD space when it is possible.
A clean solution would be to have stub executables that link to a central libClang.dll/libLLVM.dll (-DCLANG_LINK_CLANG_DYLIB=ON), but this is not supported under Windows because a DLL can export at most 2^16 symbols. Some work would need to be invested to make process launching on Windows work differently than on other platforms, but then disk space is not that much of a problem.