Plug-In or Shortcut?
Adding a menu to launch an executable is a simple short-cut. That's not a plug-in.
If you want your app. to interact with a MicroStation DGN session, you must do a little more than create a menu item.
Take your analogy, Code Analyser for Viz Studio. The analysis tools must work with Viz Studio, first to obtain the code text and then to highlight its findings.
You can do the same with MicroStation, but you must create a DLL. There are examples with the MicroStation SDK that show how to write a DLL that cooperates with MicroStation as a true plug-in.