The Clangs are different from each other in some installations, and identical in others. In particular the Visual Studio installation doesn't have identical binaries, but the MSYS2 installation does. You'll have to check yours. For example, if you dir "%ProgramFiles%\Microsoft Visual Studio\2022\Community\VC\Tools\Llvm\bin\clang*.exe" you'll see they're slightly different sizes.
(Also note that in this case you don't need symlinks per se, just identical binaries with hardlinks. Each executable could inspect argv[0] and figure out what it's invoked as, and behave accordingly.)
What I don't understand is why can't they just bundle everything into a single DLL, then make whatever stub executables they want just call the exported main() in that DLL. I think that might be what MSYS2's copy already does, though I haven't checked. That DLL wouldn't need to export anything else, just the main() function that each .exe stub would forward to. And it can handle everything else internally if it so desires.