I have noticed that if I install the target app underneath the folder specified for installation location that the "Manage first launch tasks" screen of the wizard never shows any apps in the list.
But if I provide a dummy installation location, like C:\msix and install the target app into Program Files, the applications with shortcuts now show up in this list. They should probably also show up if not VFS'd this way (it makes us think the app didn't get captured).
In the long run, I feel like this page of the wizard should actually go away. Our experience with the same concept in the App-V sequencer is that we NEVER launch the app at that time because it can cause problems. We always launch it in the previous install phase as the capture is oh-so-slightly-different. This page of the App-V wizard was originally added due to issues in App-V 4.x and we had asked it to be removed from 5.x for years.