I think I know what the issue is. When we got froyo the new direct dial/message shortcuts now include a little indicator telling us what the action is if you hit the shortcut. So now if you make a direct call and a direct message shortcut for one person (i.e. 2 shortcuts on your homescreen) you will see the little indicator telling you which action is assigned for each shortcut. Hope I'm making sense here.
The reason why some of your shortcuts don't have the indicator is probably because you haven't changed them since you upgraded to Froyo. Funny you bring this up because I have my old shortcuts too and really don't want to add new ones since the pictures are going to be covered up by the little indicator.