Desktop icons are a problem in Ubuntu. Ubuntu choose to use Gnome Desktop as its desktop environment. However, Gnome Desktop abolished, i.e., does not anymore support, desktop icons. Desktop icons are therefore provided by an extension, Desktop Icons. This extension is very limited, and has remained so.
In the mean time, a forked alternative became available that is much better, Desktop Icons NG (DING) by rastersoft. The latest Ubuntu 21.04 now by default uses that extension.
If you need desktop icons (I personally don't, because I find this clutter and poor organization, and they would most of the time be burried under my applications), then you can use that much better extension also in Ubuntu 20.04. Remove the system extension, and install the alternative extension from the Gnome Extensions website. In Ubuntu 20.04, one cannot easily disable the system extensions that are used in the Ubuntu desktop using e.g. Gnome Tweaks. Therefore, you may need to remove the package:
sudo apt remove gnome-shell-extension-desktop-icons. That may also remove the metapackage
ubuntu-desktop, but that will not damage your system. Then install and activate the alternative extension.