If this may be done in windows or may be OSX too, why linux can't?
Command may be run in terminal, as desktop files allow to specify.
It is possible, it just has not been done for Linux yet. It just requires to add a foo.desktop file to the installation.
This has been done for QSampler already BTW (see src/qsampler.desktop.in). So if you install QSampler on Linux you should see in the program menu of your desktop environment.