Well whs, that is purely a matter of opinion. There are a lot of people using windows software and to expect them to all prefer the same desktop/shortcuts setup is silly.
After further research, I discovered that it is a system maintenance utility that is removing the shortcuts once a week. It is supposed to remove broken and unused shortcuts(3 months).
For some reason known only to micro-soft perhaps, it is classing any shortcut to a shell program like the games start menu folder or control panel etc. as broken and removes them.
If you have more than 4 of these "broken" shortcuts on your desktop, they will all get removed. 4 or less supposedly won't be touched. My temporary fix to this was to put most of my games shortcuts in a folder on my desktop and just keep the 4 games out that I am playing the most. I don't believe the utility will touch shortcuts that are in a folder on your desktop, but someone correct me if I'm wrong because I haven't had time to test it. Another fix is to disable the utility, but I didn't want to do this because it performs other useful functions too.
And for the information of people like whs who can't understand why someone would have shortcuts on the desktop... I have 23 games on my computer and I find it much easier to keep track of them all if I can see them in front of me on a daily basis. I don't like to use the start menu games folder because not all the games install themselves to that folder and I like to keep them all in one place so I don't forget about a game that I haven't played in a while.