There's also the cross conversation memory search, which uses a different conversation dataset (the Claude Web / Claude.AI conversations) than Claude Code does. I'm not even sure Claude Code does cross conversation search?
The Desktop interface also presents Markdown as formatted text and presents artifacts (especially interactive ones) better than the CLI can.
All that said - I actually use the CLI for nearly everything (even on Windows). Rather than use Claude Desktop for daily "routines" that are capped at 15 total cron-jobs and use extra usage credits, I think I'll continue building my own minimal harness and move my routines to models from other providers.