Actually, now that I checked again via device Defender app, Defender has regocnized that Documents -folder and Pictures -folder is in OneDrive and is showing the OneDrive path for these folders in Protected Folders list.
But because Desktop folder is not in default protected folders list, I would need to add it myself in the list.
But what do I add to Controlled Folder Access Protected Folders list in Endpoint Security profile list? Is it
%userprofiles%\OneDrive - Company name\Desktop
or
%userprofiles%\Desktop