Can't execute RDR 2 from desktop shortcut
Solution 1:
I would guess there is a bug with the shortcut function, or it's an option that they meant to remove but forgot.
For instance, creating a shortcode for OW for the Blizzard launcher launches BattleNet and then OW. Probably it's meant to do the same, but it tries to run RDR2 before running RSLauncher, and that's what trips it up?
I would say your better option, since its a brand new launcher, is to contact Rockstar support about it. It's probably a bugged feature and you are doing everything correctly. It's just that the feature doesn't work.