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 folderĀ 

Select the shortcuts you want to delete