I can reproduce this with epiphany 2.14.1-0ubuntu2 and nautilus 2.14.1-0ubuntu5.
Dragging the location bar icon to the desk and holding alt before releasing the button and chosing "create link" gives an error from nautilus:
Error: "Action not supported" when creating a link with <url> (Translated from german locale so not 100% exact)
I can reproduce this with epiphany 2.14.1-0ubuntu2 and nautilus 2.14.1-0ubuntu5.
Dragging the location bar icon to the desk and holding alt before releasing the button and chosing "create link" gives an error from nautilus:
Error: "Action not supported" when creating a link with <url> (Translated from german locale so not 100% exact)
Dragging an icon from firefox works however.