I found an answer here: http://www.tomshardware.co.uk/forum/id-3348670/windows-folders-gtfo-remove-folders-dropbox-onedrive.html
Open your Registry Editor. Navigate to this key:
HKEY_CURRENT_USER\SOFTWARE\Classes\CLSID\{E31EA727-12ED-4702-820C-4B6445F28E1A}
Then change the value of this DWORD from 1 to 0
System.IsPinnedToNamespaceTree
For me it solved the problem. I changed also following:
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\Desktop\NameSpace
-> Delete Key {E31EA727-12ED-4702-820C-4B6445F28E1A}
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\HideDesktopIcons\NewStartPanel
-> Value of {E31EA727-12ED-4702-820C-4B6445F28E1A}
to 0
HKEY_CURRENT_USER\Software\Classes\WOW6432Node\CLSID\{E31EA727-12ED-4702-820C-4B6445F28E1A}
-> Value of System.IsPinnedToNamespaceTree
to 0
Actually I prefer to change it with from command line:
reg add HKCU\SOFTWARE\Classes\CLSID\{E31EA727-12ED-4702-820C-4B6445F28E1A} /v System.IsPinnedToNamespaceTree /t REG_DWORD /d 0 /f
reg add HKCU\SOFTWARE\Classes\WOW6432Node\CLSID\{E31EA727-12ED-4702-820C-4B6445F28E1A} /v System.IsPinnedToNamespaceTree /t REG_DWORD /d 0 /f
reg add HKCU\Software\Microsoft\Windows\CurrentVersion\Explorer\HideDesktopIcons\NewStartPanel /v {E31EA727-12ED-4702-820C-4B6445F28E1A} /t REG_DWORD /d 0 /f
reg delete HKCU\Software\Microsoft\Windows\CurrentVersion\Explorer\Desktop\NameSpace\{E31EA727-12ED-4702-820C-4B6445F28E1A} /f
Update
After I compared my computer with Registry of another Windows 10 I think it is also save to delete these entries entirely, i.e.
reg delete HKCU\SOFTWARE\Classes\CLSID\{E31EA727-12ED-4702-820C-4B6445F28E1A} /f
reg delete HKCU\SOFTWARE\Classes\WOW6432Node\CLSID\{E31EA727-12ED-4702-820C-4B6445F28E1A} /f
reg delete HKCU\Software\Microsoft\Windows\CurrentVersion\Explorer\HideDesktopIcons\NewStartPanel /v {E31EA727-12ED-4702-820C-4B6445F28E1A} /f
reg delete HKCU\Software\Microsoft\Windows\CurrentVersion\Explorer\Desktop\NameSpace\{E31EA727-12ED-4702-820C-4B6445F28E1A} /f