It seems that RDS in server 2012 won't let you create .rdp shortcuts for remote applications.
The easiest workaround I found so far is to login to your RD Web Access via Firefox and click on RemoteApp, firefox then asks if you want to open the file or save it.
Of course we want to save it :) so do just that.
Here you go an .rdp shortcut for your RemoteApp.
