Seems like the Videos Folder location was set to be in your Desktop Folder. This means that you can delete it but it will be created the next time a program or the shell requests the location of the Videos folder.
In File Explorer, if you expand "This PC" there should be a "Videos" Folder. If you right-click it and click properties, there should be a location tab. The default location for the folder is C:\Users\<Username>\Videos. it sounds like somehow it may have been changed to be C:\Users\<Username>\Desktop\Videos.
If you click "Restore Default" it should set it back to the default location inside your user profile (but not inside the desktop folder) which means it shouldn't be recreated in the desktop folder.
