I have uses the Core Zorin for years and I just installed the pro 16 version. When I install a windows app using PlayonLinux a shortcut is created in the desktop but wall not open the app when selected. Only the text of the file is shown with the name and file attributes of the installed app.
Did you open play on Linux before trying the shortcut? If you add play on Linux to the startup applications does this help?
You need it to run as a service (play on Linux) which isn't started at boot. You will have to start it once to use the shortcuts i believe.