In that file - is it excluding all exe's and links on the desktop? 
  
aren't you telling it to exclude any *.lnk and *.exe from the desktop and startmenu? 
  
I'm assuming that should we want to only delete shortcuts we just remove that *.exe or comment the line out? 
  
<unconditionalExclude> 
                	<objectSet> 
  
                	<!-- exclude blank links on the desktop-->    
                	<pattern type="File">%CSIDL_DESKTOP%\* [*.msi]</pattern> 
                	<pattern type="File">%CSIDL_DESKTOP%\* [*.exe]</pattern> 
                	<pattern type="File">%CSIDL_DESKTOP%\* [*.lnk]</pattern> 
                	<pattern type="File">%CSIDL_DESKTOP%\* [*.lnk2]</pattern> 
                	<pattern type="File">%CSIDL_DESKTOPDIRECTORY%\* [*.msi]</pattern> 
                	<pattern type="File">%CSIDL_DESKTOPDIRECTORY%\* [*.exe]</pattern> 
                	<pattern type="File">%CSIDL_DESKTOPDIRECTORY%\* [*.lnk]</pattern> 
                	<pattern type="File">%CSIDL_DESKTOPDIRECTORY%\* [*.lnk2]</pattern>