Custom desktop shortcuts will be saved to your OneDrive, so that they can be synced across any device. Sometimes you will have multiple copies of the same shortcuts.
e.g I have multiple Teams shortcuts.
You can easily manage this by deleting them from your OneDrive:
Through File Explorer:
1. Open your OneDrive
2. Select Desktop folder
3. select the shortcuts you want to remove and delete them
The shortcuts are now removed from the desktop
Through Office 365:
1. Open OneDrive and select My Files
2. Open the Desktop folder
Select the shortcuts you want to delete