I just played around with this. I made two new desktops, then renamed them to foo and bar, so I had desktop1, foo, and bar. Switching to foo and bar, they both said "explorer" when I hit capslock-t. I made sure to hit win-m to minimize to the desktop, to make sure it was in focus. Then I deleted them. Now if I hit win-m, my main desktop, the only one, says "explorer", when it used to say "program manager".

Another behavior I've noticed is that the desktop doesn't seem to get focus when you close windows, even if it's the only desktop. Suppose I have a program open, let's say Thunderbird. Normally if nothing else is open and I close it, I'd go back to the desktop, NVDA would say "desktop" and then whatever program icon I landed on, Thunderbird of Firefox or whatever.

Now I get nothing. If I hit NVDA-t it says "explorer", but I always have to hit win-m to get back to the actual desktop. If I started using virtual desktops I guess I'd just get used to that, but it is kind of weird and honestly a little confusing, sometimes it's hard to tell where you are or what's going on because it's like NVDA is just hanging in space or something.