Here's how to bring them back!

 

Make a symbolic link to the share, place it on your desktop or somewhere.  Now drag that link from your desktop to the devices sidebar.  After it's safely there, you can remove it from your desktop and it still works.

 

If you don't know how to make a symbolic link, it looks like this:

 

ln -s /Volumes/Video /Users/Justin/Desktop

only works temporarily for me: as soon as the server is ejected / disconnected the sidebar shortcut link goes with it.

When I manually reconnect to the server (using Connect to Server dialog) the shortcut reappears, but I was hoping that I could click a shortcut in the sidebar to invoke the connection rather than using the Connect to Server dialog at all.