As per https://forum.xfce.org/viewtopic.php?pid=50181#p50181, the context menu has an additional "New Link" entry that doesn't have a corresponding button in the dialog. It is the only entry that doesn't have a corresponding button and it isn't intuitive to right-click to get that entry. It would be nice if we considered adding a "New Link" button to the launcher properties on the General tab.
I agree, it's also weird that the order of those items in the context menu is different from the ones in the dialog.
Simon Steinbeiss referenced this bugreport in commit 97ee249b27be03cecc22ca049bf8e4ed86c40e63 launcher: Add 'New Link' button to properties (Bug #14855) https://git.xfce.org/xfce/xfce4-panel/commit?id=97ee249b27be03cecc22ca049bf8e4ed86c40e63