This may also be a video card issue. I don't keep any icons on my desktop anymore because this would happen to me every once in a while when playing a game that sets the resolution to anything smaller than my default 1920x1080 - and when i say playing a game I am not at all referring to DamienD's collection. This happens when I play the original Worms world Party and several other older games on my Nvidia based windows 10 desktop.
here is one game in particular that I have played for years and still do. I'm registered but there is a shareware version you can download, install and play just to see what I'm saying...
http://www.blitwise.com/ptanks.html
Then uninstall if you feel so inclined.
So in Damien's defense, I do not believe it's a WinUAE issue nor does it have anything to do with this collection.
I did mention I do not keep icons on my desktop (got really tired of fixing them) but these resolution changes would push any open windows I have to other monitor screens. I'll have several STEAM windows open, play W.W.P. or Pocket Tanks, quit those games and my windows would all be missing. I'd find them by turning on my unused screens and moving them back. So it's still affects me, just not as badly as having to drag over lots of icons from various screens.
Try playing with your video card scaling and no scaling settings with any application overrides that might be present for your driver. I use NVidia as mentioned and there are settings in the NVidia control panel to mess with.