To ensure the remote environment continues to run smoothly, we have enforced that only the software shortcut icons can exisit on the Desktop.   If you do save a file on the desktop, if will be there for the current active session, but will look to have disappeared when you return to later.
Don’t worry we have not deleted it just moved it.  You will find it under the desktop folder on your Home Drive.
The desktop is loaded when you login, any large files or a large amount fo files located on your desktop will simply make this process slow down.  This makes the entire login and logout process smooth, and allows more RAM memory accessible for you to run applications.
Best Practice
Avoid saving files on your desktop it will slow down your session.   Save files to your Home Drive or SkyDrive Pro folders.   PS.. this goes for your own PC too !