You cannot do it with an installation switch per se. To see the available switches, run the msi from the cli and append /?
There you will see the Anyconnect installer uses the Windows MSI packaging:
Install Options
</package | /i> <Product.msi>
Installs or configures a product
/a <Product.msi>
Administrative install - Installs a product on the network
/j<u|m> <Product.msi> [/t <Transform List>] [/g <Language ID>]
Advertises a product - m to all users, u to current user
</uninstall | /x> <Product.msi | ProductCode>
Uninstalls the product
So if you create an MSI transform you can pass that during the installation process to add a desktop icon.
Here are some references to get you started:
http://www.cisco.com/c/en/us/td/docs/security/vpn_client/anyconnect/anyconnect41/administration/guide/b_AnyConnect_Administrator_Guide_4-1/customize-localize-anyconnect.html#ID-1408-0000007e
https://www.windows-noob.com/forums/topic/10102-add-a-desktop-shortcut-into-a-msi/