Where do all my desktop icons go after a random Windows update?

Missing icons don’t necessarily mean Windows deleted your files. Since only some disappeared, check where those items are stored before creating replacement shortcuts.

Find one of the missing items through File Explorer search, right-click it and choose Open file location. Is it in your user folder’s Desktop, OneDrive’s Desktop, or somewhere else? If OneDrive desktop backup changed, Windows may be displaying a different Desktop folder.

Also check right-click desktop > View > Show desktop icons, although turning that off would normally hide all icons, not just a few.

If your wallpaper and other personal settings have also changed, Windows might have signed you into a temporary profile. In that case, resolve the profile issue before moving files around. Leave the originals where they are until you know which Desktop folder Windows is using.