This isn't anything we are explicitly doing. When you use PCoIP to access a desktop VM the "physical" console is remoted, unlike an RDP session. So what you're seeing is the same as if you were sitting in front of the machine directly. I don't believe there's anything you can do to add the option as MS do not expose it for console sessions.
WE use the following
This caught us out years ago because in a non persistant environment if you allow the users to shutdown then the desktop ends up in an "Already used" state.
We solved the issue by using that key.
you should end up with Log off> Lock and switch user (greyed out)
Disconnect is present on RDP because you're effectively running a terminal services session to the desktop - so you get the option to disconnect the RDP session, which in turn drops that from the View client.
With a PCoIP session, you're logging into the actual console (hence you see the usual logoff restart and so on, but don't see disconnect).
As you say, you can use the Group Policy to remove and prevent access to Shutdown, restart, sleep and hibernate (For info - User configuration>Policies>Administrative Templates>Start Menu and Task Bar>Remove and prevent access to the Shutdown, restart etc etc) for a start. This will hide these items and force the user to disconnect from the session from the View client
You could try pinning a shortcut to the Start Menu for C:\Windows\System32\tsdiscon.exe - this is the Terminal Session Disconnect utility - this will trigger a disconnect of the running Windows session, but whether that will end the PCoIP session to the Horizon Client, I don't know. Might be fun to test though.
Although VMware is not at fault here that the start menu does not show the disconnect option, it would still be great if there was a elegant way to disconnect a session from inside the desktop, similar to the way you can disconnect a session from the View web console or pressing X on the client.
This becomes an issue with users that move around between thin clients often and need their session to persist through out the day (In our case, clinical workers). To make matters worse, our thin clients use a Kiosk/Appliance mode that completely hides the client toolbar. In this case, it is impossible to disconnect the session other than Start menu > Log Off.
Did someone finally find a solution to add a disconnect option on the start menu ?
The disconnect utility found under c:\windows\system32 (called tsdiscon.exe) does indeed work to actually disconnect a running PCoIP session. The trick now will be to find an elegant way to put that shortcut somewhere where the user will see/use it. Whether that's as a pinned icon on the taskbar or somewhere in the start menu is probably up to your environment and users. I imagine if you pinned that on the taskbar, disabled the ability to Lock or Shut Down and made Log Off the default option you'll probably have things covered nicely.