By the default, elementary OS doesn't have a desktop folder - and no files can be placed onto the wallpaper. Note that this isn't just that icons don't show, there really is no desktop folder:
Where should I store my files /and folders which I normally have on my desktop?
Where can I place links to start my custom applications if not on the desktop?
If I'd still like to have an Ubuntu /or Windows-like desktop, is it possible to install / activate it - and ifadd this feature? If so, how?