In Windows Server 2019 you may notice that the desktop icons such as My Computer are missing, however when you goto

Personalization > Themes > Desktop icon settings

You see the error
Windows cannot access the specified device, path, or file. You may not have the appropriate permissions to access the item.

The quickest way to resolve this is to ignore the modern UI and

desk.cpl ,5

From here you can easily add the My Computer icon