I checked my FMOD directory and it also only has a Desktop directory. The banks are inside of the Desktop directory. The Desktop directory holds the banks used for a Desktop platform. Likewise, if you specify a PS4 platform, you would see a PS4 directory in there as well.
If you look in Preferences -> Build, you will see “Project Platforms”. You should see “Desktop” in there. If you select it, you should see “Output sub-directory” that has “Desktop” below it. If you change that to, say, “Windows”, then Build again, you will see a “Windows” directory in your FMOD directory. The “Windows” directory will now contain your banks. I do find it odd that the “Desktop” directory remains even with nothing in it. I would have figured the Build process would remove the empty directory when it removed the bank files.