Edit the target line of 'EB Play':
Modify the shortcut target. Move the end quote from the end of the line to directly after RomeTW.exe and it should work (goes for both the new shortcuts in 1.2). For instance, instead of "C:\My games\RomeEB\RomeTW.exe -mod:eb -show_err -ne" it should be "C:\My games\RomeEB\RomeTW.exe" -mod:eb -show_err -ne.
You might get problems under Vista/Win7 if you installed EB under Program Files.

XSamatan