Unused icons are moved to „unused file shortcuts“ by the cleanup. The folder does not exist, as it is created only at the first desktop cleanup, which is then carried out (automatically) every 60 days. Manually this function can be done by using the button „Clean desktop now“ (in the dialog box „Desktop elements“).
After the Desktop Cleanup Wizard has started, click „Continue“, select any shortcuts that should not be deleted (these are disabled by you via the appropriate checkbox).
After further confirmation, you will receive an overview of the shifted links. After this action, you will find the Unused Desktop Shortcuts folder on your desktop.