I'm far from being an expert on the subject, but I do use WM as my default window manager.
From all indications, the problems with the menus seem to be a lack of proper setup time on the part of the Mandrake team. I use ALT Linux Junior and their development team have put a little more effort into the setup of WM.
However, being a dedicated WM user, most of my menu settings have been done manually, on my own. This is probably what you should do to ensure proper links to applications that exist on your PC. From what I know about WM, there is no automatic menu setup (or wizard) for it, like KDE has (at least I've never found one yet). It isn't all that difficult to do, it just takes you some time. It's certainly allot easier than adding something to the IceWM menus, that's for sure.