Some games do that even in xp- you just go to main game folder find the game start exe and make a short cut to your desk top.
I read long ago folks complain about same things in xp. Install games to other folders or even drives. I was just saying I do not and have no probs or none I notice anyway.. Others can do as they like. Steam might not put a start or your dtop unless you tell it to either.. I would guess it is a w7 glitch it will not put your start icons on your dtop unless install to another folder. If it works and you are happy its all good.. I have read games run better or maybe faster what ever if another folder or something too. I am not sure any of it is really true tho. People can make them selves see thngs that are not there. but might be true. I have no need to test it tho.. If I could not get a game to work from defaults would be another story..
I do think many folks start trying to fix things before they have probs like auto try and install games in compat mode etc. I have lots of the same games other do and do not have probs with compat or installing to default folders. I think folks might be causing them selves probs from the start- they think they are ahead of the game trying to fix stuff when is no need unless they have problems.. Like updating drivers what ever just because new ones are out and might give ya fits and the system was running fine before..
W7 can be glitchy I think- Things that should work do not- But I find work arounds. Like w7 will read some discs and not others. Some games will install other's you have to go in and find the set up exe and install the game or some patches will not work from c: I say all of it is w7. It is great at somethings and my system is powerful- but I have way more probs with w7 than I did in 6 years of xp.. I still like w7 tho..