OK I have the same issue as the original poster for Chapter 1, Chapter 3 and Chapter 2, but slightly different for Chapter 2.
In Chapter 2 the shortcut always opens the install's folder location where the MonkeyIsland102.exe is located. The "Start in:" is blank. The target location looks correct but I have windows 7 and the area is greyed out and I cannot tell you what the full location is
In Chapter 1 and Chapter 3 I get the same error as the original poster and the Start In section is blank.
Some further interesting information. First I am using Windows 7 and I always choose to install my games on a different hard drive location then the original suggested value by the installer. Secondly, I had a shortcut created in the quick list of the start menu for Chapter 1 and it works fine and all the information is correct. It appears only the links created under the "Games" area in Windows menu are corrupted. If the information is useful to you, the first time the game is started used the "launch game" option on the installer it works just fine.
I can fix the shortcuts myself, but I saw this post and thought I would reply with some more info to hopefully help you in debugging the installer issue. Thanks for your work on the installer and be sure to remind the whole team at Telltale Games that they are awesome.
~James