Why do all my desktop icons all have a red X in the lower left

Right click desktop and choose "refresh". It will redraw all your icons and remove the gray (or red in your case).

Sounds like the Icon Cache needs to be rebuilt.

According to Windows 10 Forums,

The icon cache can sometimes become corrupted causing the icons of files to display incorrectly or distorted. When this happens, the icon cache needs to be deleted to reset and automatically recreate it.

There is also a tutorial there to walk you through it.