I haven't seen a request for something like this (or maybe I missed it?), but a number of the artists here have approached me asking if there's a way to access a linked file via the "show in file system" mechanism that's available via toolkit on certain entities throughout Shotgun.
An example that I've even run into myself: The client will send reference that we need to match to...a Producer will place the reference in the appropriate directory, create a note, and use the Link to Local mechanism to "attach" the reference to the note for easy access by the assigned artists. All this works great. Where it breaks down is if an artist wants to bring the file into their app to compare, for instance using to color match in Nuke. The artist has to hover over the link and manually navigate to the path to access the file direct.
It would be fantastic if there was a way to navigate to any linked asset using the same, or similar, "show in file system" mechanism.