I think the reason it doesn’t come with shortcuts on the desktop for Windows is the maintenance cost. It would need someone to write and maintain a system for adding shortcuts or writing an installer, which while doable would still need someone to commit the time and energy to do it. Then there might also be the desire to make an installer for Linux and MacOS too, leading to even more potential work.
Another thing to consider is having multiple versions of Godot, or even multiple instances of the same Godot version. For example, you could download Godot 3.3 twice, once for standard version and another time for Mono. This could make it confusing from a shortcut perspective depending on how the shortcuts were automatically made and named.
I do not think it’s a bad idea per say to have an installer that adds a shortcut, but I think to keep Godot portable, to keep development focused on Godot, and to keep the workflow with multiple versions working, it probably isn’t going to happen for Godot 3.x or Godot 4.0. That said, you can always open a proposal on the Godot proposal library, so the Godot core developers (who are not as active on the forums) can see it and give their input.