Yeah, it didn't install a desktop icon for me either (maybe because they want us launching it from within the app we purchased it), but I was able to find it in my Start menu under "Recently Added" and right clicked it I believe selected the option to create a desktop shortcut.
In the search bar, you can also try typing "Microsoft Flight Simulator" and it should bring it up too, and you should be able to from there create a desktop shortcut for it.