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#21
No shied icon just means that the program will not "Run as administrator" by default when you run it. You can still manually right click on it and click on "Run as administrator".
Click on the link below for more on the Open File - Security Warning prompt.
Open File - Security Warning : Unblock File
I don't think I can explain it any better than this. If you would try a shortcut that has a UAC shield icon and one that doesn't on it, then you will get a better feel for it.