CAUSE
When Client Connection Manager is used to create new connections, the icons
for the new connections are placed in the users' portion of the profile.
The default name for the program group is Terminal Server Client.
When the Terminal Server Client is installed on a computer running Windows
NT 4.0, the following program group is created:
%systemroot%\Profiles\All Users\Start Menu\Programs
\Terminal Server Client
NOTE: The above path is one path; it has been wrapped for readability.
This is the only program group that exists until you use the Client
Connection Manager to create new connections, at that time a new program
group is created under the following location:
%userprofile%\Start Menu\Programs\Terminal Server Client
This is the intended behavior of Terminal Server because by default, only
Administrators have write permissions to %systemroot%\Profiles\All Users.