This was discussed sometime back in the mailing list here:http://sourceforge.net/p/msys2/mailman/msys2-users/thread/CACmMjVnF_6sgVTnqCN_j3St4qGiUdcOo3ay4Xpa9C3xfPt32Xw@mail.gmail.com/

At that time the user was told it was a bug in Windows because you can't pin batch files to the taskbar. However, there is a way to make this work by avoiding batch files. Instead of the batch file, you can create a normal Windows shortcut to mintty.exe with the following target:

C:\msys64\usr\bin\mintty.exe /usr/bin/env MSYSTEM=MINGW64 /usr/bin/bash --login

The MSYSTEM variable can be changed to MSYS or MINGW32 as desired to start up the appropriate subsytem. The icon for the shortcut can also be changed to msys2.ico and it will continue to use that icon once it is pinned to the taskbar.

It would be nice if future versions of MSYS2 could be updated to use this type of shortcut in the start menu by default.