Pin shortcuts to Start Menu

What am I missing here? I can pin exe's with a right click but trying to do this with a desktop shortcut does nothing. If it is not allowed, why does the context menu have 'Pin to start' in it?

Just wondering.

I can pin any desktop shortcut to my start menu. I have found no exceptions to this.

Thanks for confirmation.

I have four running the latest updates and all have this problem (although one of them did pin once then no more).

Weird, especially being this close to the 29th.