Desktop shortcuts will be possible in the upcoming 4.1
Just to clarify: desktop shortcuts work already in the 4.0. That is: you can double-click on a connection file (normally created in $HOME/Documents/NoMachine) and this will start the connection. You can also create a shortcut by hand, pointing the shortcut at a connection file, and place the shortcut on the desktop. What the 4.1 will add is the ability to create a shortcut automatically, when a new connection is created.