Based on information for version 3.3.9, the shortcut is now created by the installer.
https://product-downloads.atlassian.com/software/sourcetree/windows/ga/ReleaseNotes_3.3.9.html
BUT, there is a trick to downloading it from the sourcetreeapp.com website.
If you just click "Download for free", it only (at the time of me writing this) you will only download version 3.3.8
If you copy that URL, and change it to
https://product-downloads.atlassian.com/software/sourcetree/windows/ga/SourceTreeSetup-3.3.9.exe
then you can get the version you are looking for.
The web site seems to be "out of step with reality", because if you look at the download archives (using the link at the bottom of the sourcetreeapp.com home page)
https://sourcetreeapp.com/download-archives
you will only see release notes up until 3.3.6 (even though you could download 3.3.8 from the home page). It is all rather bizarre. So again by tweaking the URL by hand, you can get versions 3.3.7, 3.3.8 and 3.3.9 (as I showed at the start of this comment)
I just did an install of 3.3.9 over my already-installed 3.3.8, and I see a SourceTree icon in the "recently added" list as well as an "Atlassian" folder under "A"
NOTE: For some reason if I use SourceTree's own Tools -> Options -> Updates -> Check for updates button, it will not find 3.3.9. I have to use all the manual steps described above to get it to download and install manually.
Fixed in latest version