Well,, Windows handles things differently. And even in linux, the icon doesn't always show up on the desktop.
Yes, it probably could be implemented in windows, but, it really isn't necessary in my opinion. It would create desktop clutter, and just one more thing to cause problems with the desktop.
Plus, Auto Play (if you have a need to use devices from which you have no idea where they came from, or even new devices purchased in a store that have been compromised) should be disabled in windows anyway, unless you are running as a regular user with UAC and not an admin, and even then, it's a good idea to disable. As viruses can be spread through USB/DVD/CD using autoplay feature. It's rare, but possible.