It's because steam doesn't save your configuration properly then, which makes shortcuts dissapear as they are not saved.
Only fix I've found that worked for me when this happened once was exitting steam, deleting Clientregistry.blob and starting it up again. If that doesn't work you can try reinstalling steam entirely though (just remove all steam files besides Steam.exe and remove all folders besides Steamapps (your games) and start the client again, it will rebuild itself.