Back in the old days, the "Run as administrator" menu option was placed on the extended menu. To get the extended menu, you hold the shift key when you right-click on the shortcut.
In Windows 7, the "Run as administrator" option was moved to the primary menu, so you no longer need to hold the shift key to get it.
Well, except that sometimes you still need to hold the shift key.
The deal is that there are two "Run as administrator" commands. One of them is for running shortcuts to regular applications as administrator. The other is for running shortcuts to MSI applications as administrator. Shortcuts to MSI applications are weird because they aren't shortcuts to EXEs but rather are shortcuts to an entry in the MSI database.
When the decision was made to move the "Run as administrator" command from the extended menu to the primary menu, the person who made the change moved only one of the "Run as administrator" commands (the one for regular application) and forgot to move the other one (the one for shortcuts to MSI applications). As a result, you still need to hold the shift key to run MSI applications elevated.
The problem is fixed on the Windows 8 Start menu. It correctly shows the "Run as administrator" option for both shortcuts to regular applications and shortcuts to MSI applications.