Created a local file hyperlink (as detailed in release notes for 10.39.6). File is stored in my Documents folder which syncs across my Macs via iCloud. When I click the hyperlink, I get the attached "failure" message. When I hyperlink a file stored in my local Downloads folder (which does not sync via iCloud), the file opens fine.
I went to Privacy settings and made sure Evernote had access permission there.
As a test, I repeated this in Evernote legacy and there was no problem opening the hyperlink regardless of where the file was stored.
This is a bad failure. Someone needs to do this work right.