I have not seen any resolution or further discussion on this issue. I'm currently running PD 13 for Mac Pro v13.2.0 (43213) and Windows 10 1709 (16299.64). The issue isn't the shortcuts, but the application (EXE) stub files Parallels creates.
From what I can tell, Parallels is not properly creating the Windows EXE files in %APPDATA%\Parallels\Shared Applications with the correct icon image. The icon embedded in the stub files are either blank, transparent or corrupt. I'm leaning towards transparent because when I use an icon extractor, the extracted image is intact but transparent. The icons are the proper size with 256x256, 48x48, 32x32 and 16x16. They're just transparent.
I originally saw this behavior on only domain connected Windows 10 VMs, but now I see it on the same machine that isn't connected to the domain. When I remove the computer from the domain, the icons are still black. I wonder if order of process has anything to so with this. On another Windows VM, I installed Parallels Tools before joining the domain and the icons are just fine. When the machine is added to the domain, the icons go black. When removed from the domain, the icons return to normal. Just an observation. I've also looked at security on the Windows VM, not luck there either.
Would really like to see a resolution to this issue!