You would need to drag the icon onto the taskbar or into the folder created for an addon toolbar. That's how that goes when creating shortcut on the spot with a right click.
You end up at a disadvantage for the fast shortcut using that method. For the Display shortcut I simply was able to drag that directly onto RocketDock but no go for the taskbar or Start menu. That was from a right click on Start>CP>Display item and selecting the create shortcut option.
You get a shortcut real quickly but....

no options to pin!