The idea is once you use the Pin to Start option, that file or folder will then appear in your Windows 10 Start menu. Probably not at the top of the screen but further down. Not the left side of Start menu where the list of menu items is, but instead to the lower right side of the screen where all the icons are shown.

Folder on Desktop called Examples; Right-clicked and Pin to Start:


Examples folder reference in Start Menu:



I know with the earlier Windows such as XP I will be periodically asked by the system if I want to clean the desktop due to unused or rarely used icons (shortcuts) and I always answer "no". I answered yes once and regretted it. I think you will simply need to continue to answer "no" despite the repetitive and annoying nature of the system asking such questions. A Windows expert might know how to disable these system questions being asked in the first place. Probably my main dislike of Windows is the naggy nature of both the system and 3rd party apps. This appeared to be more of a problem in the earlier Windows versions, though that might be because I spend more time on the earlier Windows versions.