I love the new feature of creation of shortcut icons on the main screen.
I notice on my HTC Incredible that the icon goes to the first (leftmost) screen with an available icon position. I hadn't previously figured out to move an icon to a different screen--I had deleted icons from where they were and recreated them on another. Since the Basic-created icons don't exist anywhere to bring them on using the OS, I had incentive to find a way of moving them to a different screen, and that is:
Move the icon to the thin bar at the top to temporarily park it there. Then switch screens to the destination and slide it down onto that screen.