Also because when you use those very same shortcuts on the Start screen and the shortcut refers to a webpage (Web Console, Application Advisor and Application Diagnostics), the new styled IE will open instead of the desktop based version. Many people don’t like that at all. Of course you can change this behavior so the desktop version of IE is always started, no matter what. None the less, many people want to have all the available SCOM 2012 shortcuts on their desktop.
Simply copy & paste them to your desktop and be done with it. Or even better, copy it to the folder C:\Users\Public\Desktop\ so EVERYONE will get these shortcuts on their desktop of that server.