I have the following shortcut in c:\Users\...\AppData\Roaming\Microsoft\Windows\Start Menu\Programs\Startup\
C:\prog\PuTTY\pageant.exe c:\my\.ssh\some-key.ppk c:\my\.ssh\other-key.ppk
It used to start ok, but in Windows 10 it opens the folder c:\Users\...\AppData\Roaming\Microsoft\Windows\Start Menu\Programs\Startup\AutorunsDisabled\ instead (I use sysinternals autoruns to manage startups).
When I navigate to the shortcut and click on it, it starts ok.
I had "Run as Administrator" set on this shortcut. Other shortcuts that don't have this option start ok. I'll try without this option.