In current Ubuntu versions based on Gnome Shell, there is no keyboard support for moving between icons. Desktop icons are supported through a Gnome Shell extension, that essentially is still in early development, lacking features.
Gnome Shell, the desktop that Ubuntu uses, actually does not support desktop icons at all. While it is a keyboard centric desktop, the keyboard accessibility is not focused on items on the screen - which, in default Gnome Shell, are hardly there. These items, which are revealed on the overview you obtain after clicking "Activities", are mainly designed to be accessed by mouse. Working with the keyboard does not proceed through these visual elements, but through a different workflow.
You cannot really fix the issue. You can file an issue with the extension developpers. If this aspect is crucial in your workflow, then consider using a different desktop environment that supports this (most other desktop environments will do). Otherwise, you could learn to access the items you normally put on your desktop using the keyboard, i.e. through the "Search" function in the overview, and through the powerfull search facilities of Files (most other desktop environments lack this).