SYMPTOM:
In Strategy Tutorial, create a new Training Metric and add a shortcut to Sales Metric folder while creating the metric as shown below.

Save and close the Training Metric editor. Now if you edit that training metric again, then shortcut to the folder is lost as shown below.

CAUSE:
This is a known issue in Strategy Developer 9.x and 10.x where shortcut added through Training metric editor does not get saved.
ACTION:
Please contact Strategy Technical Support regarding an update on this issue.
WORKAROUND:
The Metric editor and Training Metric editor share the same set of shortcuts. Hence if you add the shortcut through Metric editor, then it will be available through Training Metric editor as well. In above case, if the same shortcut is added using Metric editor and then if you edit the Training metric, you can see the Sales Metric folder shortcut there.