Create Shortcut on Desktop

We have Windows 10 64-bit with Parallels Client 16.5.3.
Trying to make shortcut of one of the published apps, but no.
I have only 2 options: Open Application or Delete all shortcuts from Desktop
 
@TeppoT Go to "Help" -> "About". If it says "Portable mode", then you will not be able to create shortcuts on the desktop.
If you want this functionality, you will have to install the Full Client (MSI) as described by @SeanA3
 
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