It is typical (especially on Linux) to have a symlink to a minor version of the JDK. On Windows, I've got jdk1.8 as a symlink to the latest bug-fix release:
When I start groovysh.bat (or groovysh.exe) I get this startup message:
Even worse, groovyconsole does not start at all.
On the other hand, although it fails with symlinks, it works with NTFS junctions.
Looking at the source, it appears to be a problem with the stat function, called from jst_fileExists, which is called from getJavaHomeFromEnvVar() in https://github.com/groovy/groovy-native-launcher/blob/master/source/jvmstarter.c .
There are other ways to find if a file exists on windows that don't use stat.