That option does not show up when Fences is installed.
The issue isn't that no icons are showing up. The issue is that new icons don't show up. Fences will display them and then they immediately disappear.
Shortcuts and files that were on the Desktop prior to the installation show up fine. Its the new ones that are disappearing.
Something is screwed up with Fences that is causing this issue.
I turned on "Align Icons to Grid" and the icons magically appeared from off the screen. I have no idea where they were hiding.
I think that issue is self-resolved.