In the package.ini file, under the application entry points, verify that you have the shortcut locations defined which you would like registered.
For example, take an Internet Explorer 6 ThinApp package, in "Package.ini" scroll to the desired entry point.
For this example it would be "[Internet Explorer 6.exe]
You'll see the "Source" and "ReadOnlyData" parameters with their defined variables.
Ensure that a parameter exists for "Shortcuts" or that it is not commented out with a semicolon at the beginning of the line.
If you defined "Shortcuts=%Desktops%;%Programs%" (without quotes), then ThinReg will place icons in the desktop and programs menu.
You can define explicit paths or use system variables for this parameter.
Hope this helps...