The behavior is almost identical to previous Windows versions - but it's not intuitive how to find the right control panel applet.
In Control Panel, click "View Network Status and Tasks" ("Network and Sharing Center" under Classic view). Then, on the left bar, click "Manage network connections".
This is the interface you were referring to where you can create right click on a connection and choose "Create Shortcut". From there, you can obviously drag that connection to your startup folder.
Now, the feature I miss is the ability to expand the "Network Connections". In my line of work, I have multiple VPN networks I potentially connect to so that was really handy. You can still get that feature using the classic start menu - but the rest of my work I prefer the fancy new start menu.
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