My Desktop files were all removed as well. After the latest Big Sur update, my Desktop was empty. In Finder, I discovered that my iCloud had not linked, and needed to select the option to link it to my local machine. Once linked, it took about 20 minutes for the iCloud to connect fully to my MacBookPro. The Desktop folder had been located on iCloud, so I copied the full folder and pasted it on my machine's Desktop. I did not remove the Desktop folder from iCloud just in case there was another disconnect since this appears to be a bug. Perhaps it's a bug, perhaps it's a ploy for Apple to sell cloud upgrades.