I found an issue when adding a shortcut. When you add a a shortcut and select the Advertised shortcut checkbox, and click OK, then open the shortcut properties again, the checkbox is not selected. You have to check it again and select OK before it save that option.
To recreate:
* Go to a folder and select "New Shortcut to Installed File"
* Select a file under "New File Shortcut" select the checkbox "Advertised shortcut"
* Set a Display Icon for the file
* Click OK and then open the the shortcut. The checkbox will be unchecked
It seems that adding a display icon breaks it. If you don't add a display icon, the checkbox stays checked.