Ok, so I'm not sure why you have a locked alias on your desktop to your downloads folder (I can only assume it is locked so that you don't accidentally delete it?) But, it is my guess that in locking it, the update was unable to redirect the path of the alias for you automatically.
What is most likely happening here is not that the downloads folder is missing, but rather your alias (shortcut) to the downloads folder is no longer working.
You can fix the alias by selecting it and hitting command i. Then (you might have to unlock it to continue you by unchecking the lock checkbox) you can click the "Select new original" button and use the sidebar to select the downloads folder. If you can't find it in the sidebar, you can use spotlight in that window to search for it and select it.
Does this answer your question?