Do you by any chance have Sound Forge Audio Studio installed? If so, a Magix low latency driver, which is installed by SFAS has been known to cause screeching and other abnormal noises... The noise can happen in Vegas, as well as Sound Forge. See this comment from Magix for the remedy. FYI, If you have Sound Forge Pro, the low latency driver is not installed.
Ok, this happened to me as well and a full reset also resolved the issue. I can confirm that holding down CTRL-SHIFT while double-clicking the link on the desktop DOES work in Windows 11 for VEGAS Pro 19.