Taskbar Question, Please

I have a shortcut to a program on my desktop.
Clicking on it, opens the program just fine.

But,

If right click on it, and select "Pin to taskbar", it does not show in this bottom bar.

And, It I try to drag the shortcut to the taskbar, it will not, apparently,
allow me to, as it does not show there.
Why ?

But right clicking also has he option to "Unpin from taskbar", so it
apparently thinks it is there.
But it does not (seem to) show up anywhere on the taskbar.

What, as usual, am I doing wrong ?

Thanks,