There was something wrong with my laptop some days ago and I got the loaner machine. Yesterday when I got my laptop, one interesting thing was that when I entered something in the Run command, it would go away next time. This was not convenient for me.
After looking into this issue, I found it is easy to fix.
Right Click on Start Menu. Click Property.
In Star Menu Tab, Privacy is disabled. Please check 2 as follows.
Choose size as you like
After that, the history in run command is showing up again.