It appears that, at least on Mac, local will respect hard symlinks but will not respect aliases. We have an in-house theme that is distributed to each Local install by a symlink pointed to the the code repo, but symlinks are way more brittle than aliases so it would be great if that would work as expected.
Another problem I’ve noticed, is that in using Local Connect, Local will just push the symlink itself to the WP Engine instance, rather than following the symlink to the actual files. I’m sure this is not desired behavior.