Pin RDP Icon to start menu Windows 8
Solution 1:
The only way I know of doing this by creating a shortcut to mstsc.exe and providing your existing .rdp file as a parameter to the command line.
From http://www.jenovarain.com/2013/02/pin-rdp-shortcut-to-start-screen/
%windir%\system32\mstsc.exe "C:\Path\To\My\RDF File.RDP"