I'm not sure we want to handle the desktop directory the same way. It's really a special case because applications often put their 'icons' on the desktop. So if the Windows desktop is just a symbolic link to the Unix one, the user will end up with a lot of 'xxx.lnk' files on his desktop. In particular these files will show the wrong icon: they will have the icon associated with 'lnk' files, instead of the one of the application they are supposed to start.
While this is annoying, I find it confusing to go to the "Desktop" directory and not find the files on my desktop there. I prefer having the two desktops the same, and just delete the .lnk files myself.
--Juan