End-to-end encrypted Signal messages are queued for delivery when a device is offline. Your phone and any linked devices each have their own independent (and ephemeral) queue. When a device regains connectivity, like when you launch Signal Desktop after it has been closed, queued messages can be delivered and processed.
The Signal service does not know whether or not a message is a Disappearing Message. This is an intentional design decision that prevents the service from determining whether or not someone has the Disappearing Messages feature enabled.
Signal clients also do not tell the service to selectively clear portions of the ephemeral message processing queue for other linked devices, because this would reveal to the service that Disappearing Messages are enabled and what proportion of the temporary delivery queue consists of short-term Disappearing Messages.
It could also reveal metadata to the service about when those Disappearing Messages were read, and which device read them first (e.g. did the request to clear part of the queue come from the primary device or a linked device, and when was the request sent?).
Keeping all of this information hidden from the service is an intentional design decision too.
Instead, the service remains completely unaware of all of the above, and each device independently processes its own ephemeral queue of end-to-end encrypted messages. Each device can then quickly determine for itself (without revealing anything to the service) that a message was a Disappearing Message and make it disappear accordingly.
Along with technology like Sealed Sender, handling this type of processing on your own devices (instead of on the service) helps keep more of your metadata safe.