That is because the desktop you see isn't the desktop anymore, it is a space to open apps. Odd I know. There is a tool listing on OSXDaily that will show the desktop by defaul and any hidden files, which I like, or go to finder, then click "Desktop" on the left side bar to actually see your desktop and related items. But frankly, after doing that, I just removed my icons from my desktop and made my drives visible on the left side bar of finder.