If you right-click on the desktop, the menu you'll get is the desktop's menu. It'll have entries such as "New Folder" creating a new folder on the desktop. It also has an entry called "Open in Terminal" (notice the word "in"!), which opens the terminal in the Desktop directory, or actually using the menu entry's logic I should rather say it opens the Desktop directory in a terminal.
I personally agree with you in that I find this a pretty useless feature, so I never use this menu entry. I personally use either the global shortcut Ctrl+Alt+T, or click on the icon in the dock / launcher (whatever it's called), this latter method having the advantage that I can start up the terminal the same way as I'd start up my other favorite and frequently used applications.
Note that it has nothing to do with GNOME Terminal, it's all about the Desktop. If you change your preferred terminal to something else, the desktop's "Open in Terminal" menu will open that one in that folder. No wonder that you didn't find any options about the working directory in GNOME Terminal's settings, indeed there aren't any, it's absolutely not GNOME Terminal's decision to open in that folder.
My personal recommendation is to avoid using that menu entry which, by questionable design, intends to open a terminal in the Desktop directory. That being said, finding the right .desktop file and adding the --working-directory flag to gnome-terminal should also work, as per vanadium's comments. Yet another possibility is to fix up the directory from .bashrc.
