I am working on Windows 10
I have placed some shortcuts on Tile's Page: Word document, IntelliJ executable, Windows Explorer
Behavior for each is different.
When I click on Word document shortcut then shortcut remains and new thumbnail is created (representing opened window).
When I click on IntelliJ executable shortcut then shortcut disappears and new thumbnail is created (representing opened window).
When I click on Windows Explorer executable shortcut then shortcut remains and new thumbnail is NOT created .

I have just restarted PC and now when I click on Word document shortcut thumbnail is not created (as was the reason for my original post).