When first logging into a VDA, the WEM Agent does not push out all the Desktop Icons that are assigned to the user. The WEM agent must be manually refreshed to make the Icons appear:
Initial Login with no application Icons:
Manually refresh the WEM Agent by right clicking the Wem Agent Icon from the Taskbar, clicking "refresh" and "Yes" to confirm the Refresh:
Desktop Icons now appear after Agent is "Refreshed"