Why are my files all now within Volumes?

macOS Catalina has a new feature to further isolate the OS from data. In the APFS container it is installed within, an APFS volume for the OS is created alongside an APFS volume for your data. The former is mounted read-only at the root of the filesystem, and the latter is mounted within /System/Volumes.

Directories containing writable data are linked from the read-only volume to the data volume, to form one apparent disk. The individual disks still appear separately if you open the mount point.

https://developer.apple.com/videos/play/wwdc2019/103/

A Desktop folder on the desktop is a bug. The other screenshots show expected behaviour.