With Windows 10, lots of built-in apps (like the calculator) are now Modern UI apps.
You should be greeted with a secret folder containing a bunch of random apps and actions.
Find the Modern app you want to create a shortcut to.
Right-tap on it and choose Create shortcut.
Itll show up on your desktop.
Its annoying that you have to do it one-by-one, but I suppose its better than nothing.
How to Create a Shortcut for Windows 8 Metro Apps on the Desktop| Spiceworks