Hmmm, looks like I have a more than current version then (5.0.9220/531119). My PD5 shows .lnk files in the dock folder. Aren't usually all programs from the start menu .lnk files?
It just doesn't show .lnk files pointing to .cmd files instead of .exe.
I've solved this by converting my .cmd files with AutoIt to .exe files. Eversince I did that that .lnk files are also shown in the dock folder.