I have the same problem. I think it was poor enough that I used to have to copy the file path, return to evernote, open the link window, paste the file name and then add file:// in front of it -- that was pretty clunky for a 'one stop shop for all your notes on a project held together in a cool and useful and linkable way' app. But at least it worked. Now it does not.
I have evernote v6.9.2 'Professional'.
I'd be very grateful should anyone have worked out how to resolve this and be able to share their knowledge. Is it a Mac setting I should alter? Thanks in advance for any help!