There is no option as of right now for automatic pinning of the .desktop file to the launcher of an application that was just installed. It does not just include IntelliJ but many other applications.
Technically speaking , there are ways to append an icon to the list of icons on the launcher , however most developers don't use it and leave that option up to the user. Hence you have to manually pin the Launcher icon. Otherwise, once the program exits - the icon disappears from launcher, which is the proper behavior of any app that is not on the list of the launcher favorites.
As for the .desktop file itself - it is created.

Checking only the Create a desktop entry option creates the file in ~/.local/share/applications/ folder, which is typically where the launcher entries for unknown or user-specific apps go.
To confirm that , I've ran this after installation:
$ ls ~/.local/share/applications | grep idea
jetbrains-idea-ce.desktop
Checking For all users option will create /usr/share/applications/jetbrains-idea-ce.desktop, since the /usr/share/applications directory is available globally to all users.
Either of these is what you want, and they can be pinned to the launcher simply by dragging them from file manager or dash to the launcher. NOTE: the bin/idea.sh must be ran as your regular user - otherwise if you run it as root, the .desktop file will be root owned, hence you cannot drag that to the launcher. If that's the case, you can always sudo chown $USER:$USER /path/to/jetbrains-idea-ce.desktop
You can always copy either of those to Desktop if that's what you want, but .desktop files aren't literally supposed to be on the desktop.
As a last resort, you can always manually create a .desktop file.
In my example, that would be
[Desktop Entry]
Type=Application
Terminal=false
Exec=/bin/sh /home/xieerqi/intellij/idea-IC-145.597.3/bin/idea.sh
Name=Intellij
Icon=/home/xieerqi/intellij/idea-IC-145.597.3/bin/idea.png
Notice , that this is different from the example in the link you provided . The #!/usr/bin/env xdg-open is unnecessary and Exec line actually runs /bin/sh and the idea.sh as parameter to it. Note that this .desktop file needs to have executable permissions, otherwise you will receive a warning "Untrusted application"