Update: I found the culprit. In my case it was AVAST ANTIVIRUS.

After the update to Windows 10, Avast didn't work. I thought it was uninstalled during the upgrade process, but in fact it wasn't....

Hi all,
I just registered to say that the same thing happened to me.

After the upgrade, my desktop looked as usual. But after the first reboot, almost all my folders and shortcuts disappeared...