I did some research on this issue.
1. Desktop file is created by a script "add-calamares-desktop-icon" which is launched by /etc/xdg/autostart/calamares-desktop-icon.desktop
Both files belong to the package calamares-settings-debian
2. "X-GNOME-Autostart-Phase" on calamares-desktop-icon.desktop breaks script execution for KDE Plasma (at least on Debian 12).
After deleting/commenting this key in the file /etc/xdg/autostart/calamares-desktop-icon.desktop and re-entering the live session, the file was successfully created.
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Jonathan, what is your opinion on removing the "X-GNOME-Autostart-Phase" key from the autostart file?
I believe that it's a safe solution that won't affect other Desktop Environments (especially GNOME, which doesn't support desktop icons).