How did you install WinSCP on your machine?
When WinSCP is installed using the official installer, it uses Windows registry to store the settings. When portable WinSCP binary is used, it uses INI file to store the settings. The INI file is stored to the same folder, where the binary is stored.
So if you had stored
on your desktop (instead of creating a shortcut to the binary), WinSCP would indeed store its INI file on your desktop.
Consider installing WinSCP using the installer instead.
Even in your current setup, you can configure WinSCP to store the INI file elsewhere:
But that's not the right thing to do.