No, you don't really have to.
You'll find Desktops under Menu: Tools - Desktops
fpcupdeluxe is an advanced installer for Lazarus that also allows you to have multiple independent Lazarus installations on the same machine or VM.
Leave your Lazarus installation as it is and
download fpcupdeluxe in the latest version.
I install my Lazarus instances like this:
Create a directory where you want to put all instances.
Mine is /lazarus
Create another directory where you want to store one instance.
for example /lazarus/laz224_fpc322_stable
copy the exe or executable of fpcupdeluxe into the new directory and run it from there.
When fpcupdeluxe is started choose the install directory (button "Set InstallDir")
Be sure that the checkbox "GitLab" is checked and press the big button with the green thumbs up.
You can play with the many installation options later.
Get a cup of tea and let fpcupdeluxe do the work. Everything is fetched up to date from the net and compiled correctly.
When fpcupdeluxe is done select the tab "Modules" and install OPM (Online Package Manager) with which you can later automatically fetch the necessary components from the net.
In my opinion the best way to install Lazarus.
You can delete your old Lazarus installation if needed by simply deleting the directory because Lazarus does not install anything outside of its directory.
This way you can run different versions of Lazarus side by side. For example one with which you develop and another one in which you can look at the latest news (trunk). With a version change one can also let the old and new version exist until one really wants to change.