Windows 11 Version 22H2, Build 22621.675.
Start11 Version 1.31.
I have done more testing that seems to indicate it depends where the shortcuts are added: If adding them on Start11 menu, the Jump Lists appear to work correctly. If I add them to the Windows 11 Start, which is the only way (as far as I know) to have the icon appear on both Start menus, then the Jump List/right-click menu is limited as shown in my screen shot above.
So, to define the problem differently: if you want the icon to appear on both Start11 and Windows 11's native Start menu, the only way to add the icons is via the Windows 11's native Start, and those icons are missing their right-click menus in Start11. So Catch 22 -- either you can have the icon in both places OR you can have a working right-click menu, but not both.
Note that as far as I can tell (unless there's an option I can change that I don't know about) you MUST add the icon to Windows 11 native Start if you want it to appear in both places. If you add it in Start11, it ONLY appears in Start11. If you then also add it to Windows 11 native Start, it still appears in both places, so you now have 2 of the same icon in Start11, but only one has the working right-click menu. However, if you try to delete the other one, the one without the working right-click menu, then both icons disappear from Start, so there's no way for the user to fix this. The only work-around I could think of would be to have a useless group of all those secondary icons with the broken right-click menu in the Start11 Start menu. But even that would still require the annoying step of adding them in Start11 and in native Start.
Therefore, another way to fix this problem (maybe a better solution, because it would save users like me who want the icons in both places) would be to provide a Start11 option to also pin every icon the user pins to Start11's Start menu to the Windows 11's native Start.