Hi all,
I have made the change from Nautilus to Nemo as explained by @EbonJaeger .
And now, when clicking on the desktop with the right button of the mouse, I have a menu where I can
create a folder, a document, open a terminal, etc ... where I was used to have Budgie settings and system settings.
I don't have any icon on the desktop as I don't want any.
How could I go back to my previous behaviour (even if I have to go back to Nautilus) ?
Thanks.

You should be able to reverse the steps in the guide to go back to Budgie Desktop View. You can still use Nemo as your file manager if you want; Nautilus doesn't provide the desktop icons implementation either way.