Nautilus Shortcuts – Create a Link to a Folder on the Left Panel of Nautilus File Manager

Have a look at the answer to How to add my favorite places as a quicklist in my home's icon in Unity?

You can change the first Exec line to read Exec=nautilus Documents and it will open your Documents folder.

Finally, I figured it out by myself (or, to be honest, with help from an ArchLinux forum). So, in the sidebar, this special folders are not under "Bookmarks" but under "Computer". To include custom folders in this list, you have to edit ~/.config/user-dirs.dirs.

Here's the content of mine :

# This file is written by xdg-user-dirs-update
# If you want to change or add directories, just edit the line you're
# interested in. All local changes will be retained on the next run
# Format is XDG_xxx_DIR="$HOME/yyy", where yyy is a shell-escaped
# homedir-relative path, or XDG_xxx_DIR="/yyy", where /yyy is an
# absolute path. No other format is supported.
# 
XDG_DESKTOP_DIR="$HOME/Bureau"
XDG_DOWNLOAD_DIR="$HOME/Téléchargements"
XDG_TEMPLATES_DIR="$HOME/Modèles"
XDG_PUBLICSHARE_DIR="$HOME/Public"
XDG_DOCUMENTS_DIR="$HOME/Documents"
XDG_MUSIC_DIR="$HOME/Musique"
XDG_PICTURES_DIR="$HOME/Images"
XDG_VIDEOS_DIR="$HOME/Vidéos"

It happens that the line concerning music had become XDG_MUSIC_DIR="$HOME/ after I had deleted the Music folder.

Once you have filled this file appropriately, most of work is done. But if you have also customized your icons by changing it to usr/share/icons/whatever you may also want to reset the icon to default by right-clicking on the folder icon, then going to Properties, clicking on the icon and pressing "reset" at the bottom of the window.