By default, the Windows sticky notes are always stuck to the desktop when you create them. If you minimize all open windows, you will be able to see the desktop notes. Or right click on Notezilla icon and choose Desktop Notes->Show all notes from the menu.
If you use the 'Show Desktop' button of Windows, then please note that you will not be able to see the sticky notes. Because the 'Show Desktop' option is meant to show the desktop. Not any windows (sticky notes) over the desktop.
Alternatively, you can use the hotkey Win+M and Shift+Win+M to minimize all windows so that you can see desktop sticky notes.