I think that such a feature would be difficult to implement on the base Firefox code, because it needs to interact directly with the desktop environment, which, in this case, would be KDE. But then the Firefox devs would probably need to work on implementing a similar feature for GNOME, Windows, or whatever other OS Firefox could run on. However, it could be possible to make a Firefox extension for that.
The easiest way to probably have links on your desktop from Firefox would be to copy the URL from the Address bar, then right-click on the desktop and Create New > Link to Location (URL). It's quite tedious, though...