Hello @hipo, I agree with @SASKiwi. I don't think SAS creates any shortcut to SAS CONNECT.
Perhaps an idea to ask the person - perhaps a SAS Admin - who created this Shortcut, or the SAS consultant who did the installation?
The SAS Users Group for Administrators (SUGA) is open to all SAS administrators and architects who install, update, manage or maintain a SAS deployment.