You can not directly pin a RDP connection to the start screen for some reason in Windows 8, even the native Windows 8 Remote Desktop
Metro application you can not pin a connection directly to the start screen. To work around this issue you will need to follow these simple steps.
Manually create a shortcut on, e.g., the desktop (right-click the desktop, select “New > Shortcut”), and enter the following command:
%windir%\system32\mstsc.exe "C:\Path\To\My\RDF File.RDP"
You will be able to pin this shortcut to the start screen or the taskbar, and remote desktop will now directly launch the connection.