It shows up in the context menu only in dolphin FM and not in desktop
Because nobody added it there. See 312330 – Folder View: Add "Show Original File" to context menu when right-clicking on a symlink
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I agree, this is slightly annoying.
I have set a keyboard shortcut to execute dolphin ~/Desktop…
You can also open Home, and DRAG the Desktop folder to your Desktop and leave a link there…
It’s coming in Plasma 6.3.0. 
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