This is a known little problem, which is also described in this blogpost: Managing Windows 10 with VMware User Environment Manager - VMware Blogs
Here is how to solve it:
Add an Exclusion to Windows Explorer.INI:
Add the following exclusion to the UEM template ‘Windows Explorer’. This exclusion prevents the Start Menu icons from appearing blank or disappearing.
[ExcludeIndividualRegistryValues]
HKCU\Software\Microsoft\Windows\CurrentVersion\Explorer\Advanced\StartMenuInit