I know of only one way that this can happen in windows, and has nothing to do with Steam other than their not-so-great decision to install all content into Program Files.
If you are on Windows 7 or Windows Vista, and you have UAC set to ON, then change it later to OFF, this can happen.
UAC does thing evil thing where if a program tries to write to a "protected" area like Program Files, EVEN IF YOU ARE ADMINISTRATOR, when you get a UAC prompt and give permission, it actually writes any files that would normally go into that directory into a "virtualized" directory somewhere else.
If you turn off UAC, that will no longer happen, and as an awesome bonus, it will no longer know about the files that it virtualized.
So in your case, if you had UAC on, installed a ton of games, then later got sick of UAC and turned it off, this would happen as you described.
See the second paragraph in "Features" in the article on User Account Control.
If you have done this and turn on UAC again, your content will come back, but be a TOTAL mess because if you've downloaded more stuff with UAC off, then that will be invisible when you turn UAC on, and vice versa.
this drove me a little crazy once before I realized what was happening.
i'm curious to know if this is your issue.
Best Answer
This is basically an UI limitation with the jump lists. Unfortunately they're limited to 10 entries per program. By default, Steam provides several entries such as "Shop", "Friends", "Quit Steam", etc. that will eat up that number.
In my case, I've only had space for 2 recent (or pinned) games.
To solve this, you'll have to remove some of the default Steam entries that you don't use anyway.
Go to Settings, Interface, and then find the button Taskbar Preferences on the bottom. Click it, unselect all entries you don't use in the jump list anyway, and you'll once again get one or more recent games entries.