It all depends on the version number and desktop environment because Ubuntu
has several versions supported at one time and there are many options and
transitions to what is in the most available from the oldest.

It also depends on the type of shortcut. For example to make a desktop icon
for a file location, you would use the file manager and right click on the
location or file. Make a link then move the link by drag and drop to where
you want it on the desktop. For applications the preferred method is to use
the Launcher rather than the desktop. You can add desktop icons in a
roundabout way. Open a Terminal and copy and paste this or
type: gnome-desktop-item-edit Desktop --create-new

An easier method is to open the file manager and paste this into the Go to
location: /usr/share/applications/

Then you will see all installed applications, Copy the icon then paste it
onto the desktop or wherever you want it.

A box will pop up and you can add the application. For example for
Thunderbird you would type the Name as Thunderbird and for the command type
thunderbird (no capital). Then it should produce the icon or you can
manually choose one. Older versions it is easier. The reason is that this
is not typical Linux behaviour or workingflow. Linux has traditionally had
a clean desktop and ignored Windows ways of doing things.