Why can't I pin network shortcuts to the taskbar?

Simple scenario here:

2 RDS Servers, load balanced

Start menu is redirected to a network share

Users can't pin their programs to the start menu or the taskbar.

Now; first of all, this is completely moronic. The LINKS are on a network share, the APPLICATIONS aren't. Still I can't pin, not even after I start the applications.

I know there are workarounds, but none of the solutions I've seen are even remotely doable in an RDS environment with 100 users.

Seriously, is there no way to make this work?