NVDA does not report which desktop I am on when I switch among multiple desktops in windows 10 Professional. To duplicate this, do the following. From with windows 10:

1. Get to the desktop with windows+d or to the task bar with windows+m.
2. Hit windows+ctrl+d to create a new desktop.
   Note:
   You will not be told that a new desktop has been created. I believe sighted users do not get a notification either but there is reference to the "show desktop" button appearing.
3. Use control+windows+right arrow to switch to the next desktop.

You will not hear any output from NVDA. I would expect NVDA to say something like desktop1, desktop 2 etc.
Note:
You can hit ctrl+windows+left arrow to switch to a previous desktop but NVDA will not speak which desktop I am on.

As regards the use case for such a notification:

1. I may not remember what state I left that desktop in therefore it is handy to know that the desktop has changed.
2. I may want to skip that desktop and go to another desktop so the notification will help with rapid navigation.

I am using windows 10 professional 64bit and NVDA 2015.4.