If, as I believe you said at the get-go, they're simply YOUR data, joemike is off on a wild goose chase, i.e., your Data VOLUME has nothing to do with your issue, and your answer is what I've been saying: The folder, presumably because of some change in macOS, can no longer inhabit its original location, and the OS has relocated it to your desktop.
If I'm correct, you've got two options: You can either leave it on your desktop or create a new folder in /Users and populate it with your data.
Whether I am on a wild goose chase or not, Get Info on the unmovable Data might yield information on
WHY the folder is unmovable and lead to a solution that would make it movable.
