Same issue as here but supplied bandaid BS not working:
http://social.technet.microsoft.com/Forums/en-US/472f249a-e441-4b3d-9735-820647b9fab5/folder-shortcuts-are-not-included-in-start-screen-layout-gpo-rds-2012-r2?referrer=http%3a%2f%2fsocial.technet.microsoft.com%2fForums%2fen-US%2f472f249a-e441-4b3d-9735-820647b9fab5%2ffolder-shortcuts-are-not-included-in-start-screen-layout-gpo-rds-2012-r2%3fforum%3dwinserverTS&prof=required
We export a start screen as XML that includes a folder shortcut. On importing it the folder shortcuts are not present (but are in the xml).
We have tried copying the shortcut file into the all users start as found in the linked thread. This doesn't work.
This is a bug and needs an immediate fix/work around from Microsoft. You made us go buy Enterprise for this sole reason, you better make this work.