I think it must execute the app in a different way somehow. I have to put the full path to the executable in the shortcut, then any options I want under it. I manged to get it to execute mostly the same as from the menu by putting the same options as the .desktop file as in the shortcut, but it still gave (at least before doing like you said, maybe now, I haven't checked) me a "bash..#" prompt, while the menu icon gave me none at all. Does this help?
Thanks for your help.