After searching i could not find any decent answer to from where and why.
But when running procmon while logging on a user, it turns out that those icons are being generated out from the same icons in the all users profile so to prevent this Deny Read access to those shortcuts in there.
To do this with Group Policy, open the policy that is being applied to the Terminal servers and Expand Computer configuration.
Browse down to – >Windows Settings -> Security Settings
Right Click ”File System” and select ”Add File” and add the files listed below.
%AllUsersProfile%\Microsoft\Windows\Start Menu\Programs\Accessories\Windows PowerShell\Windows PowerShell.lnk
%AllUsersProfile%\Microsoft\Windows\Start Menu\Programs\Administrative Tools\Server Manager.lnk
%AllUsersProfile%\Microsoft\Windows\Start Menu\Programs\Administrative Tools\Windows PowerShell Modules.lnk