It is possible to publish applications to the "Startup" menu, i.e. by placing an icon in %CSIDL_PROGRAMS%\Startup location. However, it might not be a good idea.
The problem occurs when you have use the desktop configuration to perform refresh cycles of the shortcuts of the icons, and in this case, the problem is two-fold. First of all, the icon is added to the start menu only after the user has logged in (at least when you configured the SoftGrid client to perform a refresh upon login). This means that the first time the application is published in the Startup menu, the application will not execute since the logon moment has passed and Windows already processed all the Startup menu entries. On the other hand, from that moment onwards, the SoftGrid shortcut will remain in the Startup menu, it points to the locally cached OSD file and the next logoff/logon of the user will start the virtualized application from the Startup menu as expected.
The second problem occurs when retracting the user's rights to this application. The icon will be removed the next time the user logs on again (... if you enabled refresh upon logon, that is; the reasoning remains valid if you use periodic refreshes and the user logs off before that period refresh removed the icon). However, before the SoftGrid client removes the icon, Windows will already have processed the Startup menu and attempted to start the virtualized application, which will result in an error message because the user no longer has the proper rights.
If you manually publish your shortcut in the Start Menu's Startup folder (not relying on the desktop configuration of the SoftGrid client), you are not vulnerable to this error. You will notice that the SoftGrid application will be started upon the user login, as expected.