New
#11
OneDrive could be the culprit. It was enabled but not in use. Onedrive.exe is in Desktop\User X\AppData\Local\Microsoft\OneDrive\
I finally noticed that the entire "user" User X resides on the Desktop and not in C:\Users. It is a private account that Microsoft allows to be created. Of course it just links to the user files.
In C:\Users is the Microsoft created account based on Microsoft login email, required to receive Insider Fast Ring Windows 10 builds.
The name of that User Icon I deleted in 10586 then canceled is now very important.
Other Desktop icons behave as should, if deleted they just delete and they are unchecked from Desktop Icon Settings.