I have all my frequently used files on the desktop too, but with that out of the way... there used to be a 'real' reason not to do it, and that was Roaming Desk

I have all my frequently used files on the desktop too, but with that out of the way... there used to be a 'real' reason not to do it, and that was Roaming Desktop. It's basically an Active Directory-fueled way of taking one's files with them across computers in an AD forest, and it basically copied files to a central server and then to a local computer once you logged on. It's completely standard and expected nowadays (at the very core it's what Dropbox does across the internet), but AD had it back when 10mbps networks were quite fancy. So in those days, not copying too many files (it didn't have smart sync - change a single character in a 5 mb file and it would copy the whole file over again) was in some cases a real concern.