I did some testing and it seems that if I select custom upgrade the first time I can select Full upgrade when upgrading without that shortcut 😀

I was reporting a similar issue on another application so I never thought about using custom upgrade.

You can configure the installer not to add the shortcut, if you do not want it.
It should even remember the decision for the future installations.
https://winscp.net/eng/docs/ui_installer_selecttasks

Please don't add WinSCP shortcut to desktop when updating.