"Windows Security" already shows up in the Start Menu but only when you are using it over Remote Desktop, not otherwise because Ctrl+Alt+Del is a secure attention sequence, meaning the Ctrl+Alt+Del sequence can't be sent locally by third party apps. Only the OS itself can send it when you physically press Ctrl+Alt+Del on the keyboard.
If you mean you lost it over RDP, then you have accidentally removed it while customizing your menu items. It can be added back from Customize Start Menu tab but it will show up only over RDP. The recommended way for customizing menu items via Group Policy is described here:
viewtopic.php?f=7&t=3374