I've got two games branded with Games for Windows Flight Simulator X and Age of Empires 3 WarChiefs. In both cases the games didn't create a shortcut in the Start Menu.
They do however like you'd expect fill in lots of information using Windows Vista's Games Explorer feature.
But nothing on the Start Menu, this strikes me as rather silly, now it is true that I use the Games Explorer to launch all my games, but a lot of people will use the shortcuts on the Start Menu, or will just want to type the name of the application in using the search feature, and you really need the shortcuts there to get indexed at the top of the results so you can just hit enter.
Now I'm trying to remember if Lego Start Wars 2 did create a shortcut there, then we'd know if this is just a Microsoft development decision or if its origins are deeper in the Games for Windows program, if somebody has Windows Vista and other Games for Windows titles perhaps they could check. Either way, games need shortcuts in the programs group on the Start Menu.