I suspect Wii U USB Helper will pop up one of those long error messages about not being able to access a path. Windows itself doesn't care whether the target exists or not.Lets assume the the H drive, where everything is copied to now, is not connected. How would windows behave with that shortcut, when usbhelper is running?
Delete the junction point itself (from explorer, or rd C:\DATA\USA\GAMES from a command prompt), recreate that folder as a normal folder, copy the subfolders back.If I want to dissolve this link at some point, what should I do?