Interesting, it turns out it's not just paste to desktop, but the other way too. So if I drag a file to the desktop and it moves it, I can't copy and paste a version back to the source - paste is ghosted out on the source location too. I can get round it by making a copy of the file in the source location, then moving the copy of the file to the desktop. Or I may just go back to Nautilus and put up with the unwanted folders and wait for the new xfce edition of Zorin!
Update - just discovered that changing to Nemo also removes the Desktop option when I have to Save or Open a file (which then uses Nautilus):