I am seeing similar behavior. Specifically, if I look at my "devices by type":
1) My "Dimmable Switches" are included in the "lights" shortcut
2) My one "Outdoor Switch" is included
3) My On/Off switches (which are lights) are NOT included.
I also don't have any idea how to add or remove something from the My Shortcuts, it doesn't serve any useful purpose right now other than taking up space on the Dashboard.
The shortcuts are an interesting concept but I agree it may need some customization. From what I can tell, this is how it works:
1) It looks like MCA determined certain devices / services to have a "short cut action." For locks its "lock/unlock". For lights it's "turn on/turn off".
2) Further, MCA determined that the devices are to have a default state. For lights, it's "off". For locks, it's "locked."
So, as long as at least one of your decvices is not in its "default state" the shortcut will tell you how many devices are not in that state, and allow you to put them ALL into the default state with one click.
For example, if you have 20 lights...and 8 of them are on, the shortcut indicates "8 lights on", and the single action to turn them all off.
NOTE, if all of your lights are already off, the short-cut action changes to "Turn all on"...which makes sense.
The short-cut is in a way a dynamic, built in scene.
Favorites, on the other hand are pointers to individual devices
For what it's worth (at least for locks and lights), I think the shortcut implementation is "OK," but it would be nice to have the option for the user to configure what actions are the "shortcut default", and what device state is the default.
Finally, to contribute to the original post...all of my lights and dimmers are represented in the short-cut for the lights. It may have to do with exactly what device / service your lights are using. All of my devices are the standard uPnP Binary Light or DimmableSwitch. If your lights are detected as some other custom device, that could be the issue.
Edit: I take that back...like others, all of my dimmer switches are included, but the only binary light included is my GE outdoor binary switch. My other binary switch lights are not