Confirmed the same behaviour. I do this all the time so I can have save games synced in dropbox between my desktop and laptop; I've done this with at least 40 other games, I've never hit an issue like this before. This is definitely a bug of some kind. I can't even imagine what would cause it, though, since junctions show up to programs as just another directory.
Side comment: "mklink /j" makes a junction, "mklink /d" makes a directory soft link. In either case, the MCPE Windows App crashes at between 42% and 46%
Since I assume other people reading this are trying to do multi-computer sync of world data: I was not able to work around this with Dropbox or OneDrive. It might be possible to do with Google Drive, I didn't try. However, what I did end up doing is using Allway Sync to sync between my MCPE data folder and a folder in my Dropbox folder, that does seem to be working.