Use Bridge to navigate your hard drive. I'm on a Mac, my desktop claims it saves to iCloud - I doubt it does because I'm out of space with the pathetic 5gb they give you. Sometimes when I save to the desktop it takes a while to show up - no idea why. The desktop folder you found - it's not a mysterious hidden folder, it is actually your desktop, just like your download folder is actually your downloads. Bridge will solve all of your problems...
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