A while back, I blogged about an empty jumplist for Windows Explorer and how I fixed it. I've come across another no-jumplist issue, this time in a blog post by Rick Strahl. This app never gets a jumplist, and can't be pinned to the taskbar or start menu either. Believe it or not, the reason is the executable name. I've seen all sorts of people running into issues with UAC elevation being triggered by certain executable names, but this is the first I've heard of the jumplist being taken away because of it.
Rick looked into it, found the documentation, even found the Registry key and the list of "magic" words in your executable name (Documentation;Help;Install;More Info;Readme;Read me;Read First;Setup;Support;What's New;Remove) that cause the problem. Nice work! Your options, if you find yourself here, are to rename your exe, or (if, like Rick, you have a lot of stuff depending on that name thanks to COM etc) to change the Registry key so that whatever string you're using isn't the problem.