After 5 moths (sorry for late) I've updated this tool. With this tool you can create shortcuts to a lot of immersive apps, start menu menus and charmbar too! You can find help in the program by pressing the "?" icon Website: [link]
You can find the associated app protocol, then pin the protocol (like you would pin a website). Like this : xboxgames:// will open xboxgames.
To find the associated the protocol, open desktop control panel, then go to programs > Associate file type or protocol to an app (not sure of the name, but that's how I translate it from french to english), then scroll down.