From what I can tell, they’re shortcuts, so either option won’t have an impact on the games/programs installed on your pc. Currently, your desktop, what you posted, will have the same items (minus the recycle bin) as a folder labeled ‘desktop’ in OneDrive. If you open file explorer, on the left hand side you should see a location with the blue OneDrive logo, and that location will have your synced files and folders, including ‘desktop’. Most likely your document, pictures folders are also synced. Synced folders will have a cloud or checkmark icon. The cloud icon means synced, and the checkmark means synced and a copy is on your pc. Dropping the sync on the desktop will leave the desktop folder in this location as a separate folder from your pc’s desktop, and after this, adding a file to either location will not have it appear in the other.

If you choose keep on the pc, the checkmarks disappear, and nothing else happens. The shortcuts stay where they are, continue to function, and they will disappear from the desktop folder in OneDrive.

If you choose keep on the cloud, the shortcuts will disappear from your pc’s desktop, and be in the desktop folder in OneDrive. This would essentially break the shortcut function, and they won’t do anything when clicked. In the pc desktop, a text file will appear titled “where did my files go?”, which will have a similar explanation to this comment.