If the folder is an alias, shouldn't it just link back to the real Desktop folder?
No. It will link back to the the image file the alias is on. It is an alias for the Desktop on that image file, a virtual disk, not a different physical disk.
Moreover, I don't think that it would really contain any files.
It is an alias for the Desktop on that image or disk, so when you open it it goes to the Desktop on the image or disk that it is on. Hope I made that clear, if not I'll expand further.
Is it possible that the the Desktop folder itself was an email attachment?
No, not an attachment, it was made by the OS. I really don't why they made the file structure of the Mail Downloads folder like that to be honest, never looked into it.
Glad to help.