Shortcuts add the ability to select a world to begin a run from without playing from the beginning. To unlock a shortcut, you must complete the previous worlds' bonus objective on the boss track three times. The boss jump doesn't necessarily have to be completed unless the bonus objective requires it. Not all bonus objectives require you to land the boss jump, some are easy just like standard tracks.
When attempting a boss level, simply work towards getting the bonus objective complete and finish the map, then repeat two more times.