There is a nontrivial workaround to that issue.
In your Steam library, right click on Gems of War->Properties, then click on Create desktop shortcut. This shortcut opens the game via URL. You can move this link where you prefer.
Most likely, you won’t be able to drag/pin this shortcut to the taskbar, but you can modify the old shortcut so that it targets the internet shortcut rather than the .exe file. (Right click on icon->right click on GemsOfWar->Properties->Shortcut, replace target path. Be sure that it points to shortcutName.url.)