I've noticed it too and am pretty sure it's a Source quirk. From the topic you linked, I had concluded it occurred with empty scripts (although in the linked topic, they were empty due to a bug); however it's interesting that this happens even if your hldj_custom.cfg constains commands. The important thing is that it still executes those commands, but I'll keep an eye on it. If it poses a problem, I'll copy hldj_custom instead of linking it.
Also, just to confirm for alpha9 purposes, HLDJ now works in every case, even if not running as admin?
A few curious things:
* if symbolic linking fails, it should attempt to hardlink (with copying being the last resort). I'm hoping this is what it did. You can tell if it is a hardlink if you make changes to your hldj_custom.cfg and those changes appear in the hldj_custom.cfg located in the game folder. If not, is your HLDJ located on a different drive than Steam?
* Do you have Administrator permissions on your system?