Wish it did. Note the below initiates a bing search, and does not launch steam. It just doesn't find the pinned executable which shows up on the start menu. That's kinda stupid to me and takes away a great use case for the Pin to Start function they attach to the right click menu on every exe in explorer.
I am guessing you installed Steam the normal way. I didn't, I copied the Steam directory over manually and ran the exe with admin privileges which does much, but not entirely, the same thing. With that method it doesn't create the normal program shortcuts. So I pinned the exe to the start menu, thinking Search would pick it up, problem solved. Nope. I even tried adding it to the normal local user dir in %appdata%\Roaming\Microsoft\Windows\Start Menu\Programs so obviously it's all stored somewhere else now.