I have the same fault reported by two commenters.
- The shortcut can be found in the Desktop folder with File Explorer, but does not appear on the Desktop in its Fence.
- I cut-and-pasted the short cut from the Desktop folder to another folder, and then back to the desktop. The pasted shortcut then appeared on the Desktop again.
The fault is rare. I can see nothing distinctive about the shortcut by inspecting its Properties. I can think of no way to reproduce the fault.