I found a solution for this issue with The Bat!. I turned on the hide modern UI applications after the installation. Now I turn it off and the shortcut is back, although it is not part of the modern apps.
The app isn't pinned to the taskbar. I don't have any network or encrypted drive. It was installed like every other app. The target is "C:\Program Files (x86)\The Bat!\thebat.exe".
I have a similar issue since the update but I can't pin only one application. That is The Bat! e-mail client. It also doesn't show up in the recently used application, no matter how many times I open it. Maybe because of the ! sign in the name? If I install back the 1.03 version, the shortcut is already pinned, I don't have to do anything.