Parece que o comportamento é intencional. Você pode desativá-lo modificando o registro conforme explicado abaixo.
During my early testing of the Windows 10 1803 upgrade, I have noticed that Microsoft is now creating an Edge shortcut on the desktop.
This shortcut is not in the default profile but you can disable the functionality by running the following command:
reg add HKLM\SOFTWARE\Microsoft\Windows\CurrentVersion\Explorer /v "DisableEdgeDesktopShortcutCreation" /t REG_DWORD /d "1" /f
Jose Espitia