Sounds like I have more digging to do, I am using FSLogix where I have multiple servers in a farm.
I noticed the shortcuts are created in the users profile, I wonder if I manually create the shortcuts in the same place what the Horizon Client will do. Overwrite or do nothing, I'll see what options DEM gives me.
The Horizon Client GPOs look a bit limited, maybe a feature request as it's something Citrix has been able to do, if the published applications are on the same computer you're logging into it doesn't create the shortcuts.
Thanks