How do I pin a desktop shortcut to the Start Menu?

I have gone thru half a dozen "solutions" and they're all non-solutions. Most if not all lead to menus where the purported solution does not show, perhaps this is a question of versions.

I created a shortcut on Windows11 Desktop. It is a shortcut to Windows Update. When clicked it runs correctly.

The solution(s) I gathered say to right click the shortcut and expect a "Pin to Start menu" option to pop up.

Well .... NONE did.  

Why is this seemingly simple and trivial functionality not failing on Windows 10?

Would appreciate any guidance, tip or suggestion.  Thanks in advance.