I've managed to find out how to solve this. It's not the solution but it works. I have shortcut configured for both Computer Configuration|Preferences|Windows Settings|Shortcut and also User Configuration|Preferences|Windows Settings|Shortcut in one GPO. It seems that for some users shortcut is applied from Computer Configuration and for some users shortcut is applied from User Configuration. And also for some users, shortcut is applied regardless if it's Computer or User Configuration. For those users who have been applied with shortcut only from Computer Configuration, shortcut from User Configuration is not applied and vice versa. I don't know why it's like that but I've tested it and confirm it. I have now problem that for some users I'll have duplicate shortcut but better something than nothing.
If anybody have idea why is it like this, would be grateful. BR