Java Web Start raises "Unable to create a shortcut for <APP_NAME>" dialog

FULL PRODUCT VERSION :
JDK 9, JDK 8, JDK 7u60, any later release of JDK 7

ADDITIONAL OS VERSION INFORMATION :
MS Windows 7 x64 OS

A DESCRIPTION OF THE PROBLEM :
A desktop shortcut requested by JNLP file cannot be created for Java Web Start application with either 32-bit or 64-bit JRE 7u60 on MS Windows OS and "Application Error" dialog with the message "Unable to create a shortcut for <APP_NAME>" is shown. However, if "OK" or "Details" button of the shown dialog is clicked Java Web Start application loads successfully.

The bug reproduced with JRE 7u67 is shown on the attached screenshot "UnableToCreateShortcutWithJRE7u67.JPG".

STEPS TO FOLLOW TO REPRODUCE THE PROBLEM :
1. Upload JNLP and JAR files from the attached archive file "ShortcutIsNotCreatedForJavaWSApplication.zip" with the test case into a directory on a web server.
2. Install the testable JRE 9, JRE 8 or JRE 7.
3. Open a web browser and load "ShortcutIsNotCreatedForJavaWSApplication.jnlp" file with the test case from the step #1.
4. It can be observed that the shortcut is not created and the former mentioned "Application Error" dialog is shown, after "OK" button is clicked on the raised "Desktop Integration Warning" dialog with "The application would like to create shortcuts. Do you want to continue?" message.