Customers of us want to have the ability to start appps directly via start menu, as it was possible with Citrix: https://support.citrix.com/external/article?articleUrl=CTX215624-published-app-shotcut...
I agree that being able to right click on a RemoteApp in RD Client or Windows App to pin to Start would be an excellent idea.
On the flipside, AVD supports URI (Uniform Resource Identifier) schemes which can be used to launch the Remote Desktop Client. https://learn.microsoft.com/en-us/azure/virtual-desktop/uri-scheme
These can be shortcuts that can be pushed to client Start Menu's if you are able to manage the device. Users double click and it will launch the Remote Desktop Client and launch the application that is pinned. Not sure if this will be supported on Windows App, but hopefully it does as this could be a good alternative.