The Downloads folder pointer / shortcut used to be in the Favourites section of File Explorer sidebar.
To put it back there, navigate to the location where it actually resides (now that you have found it) and simply drag that folder to Favourites in the sidebar - you should see an arrow appear in the moving icon, denoting that it's creating a shortcut.
Note also that every browser has a settings section relating to downloads, with the option to specify a default location, or to Ask where to download to.