Shortcut to batch file cannot be pinned to Win10 Start menu

After you create the shortcut go to Properties and in the Target field add cmd /c "path", then you can pin it.

1. Create directory C:\Users\%user%\AppData\Roaming\Microsoft\Windows\Start Menu\Programs\Custom(where %user% is user's login).
2. Create a shortcut to your batch/executable file in that directory
   2.1. (optional) Wait for 5-20 seconds so filesystem could update
3. Open Start Menu
4. Search for this shortcut using Start Menu
5. Right click on result and press Pin to Start