Congratulations! I guess the FroYo temptation was too strong to resist.

Ok, since the Desire users are in ROM flashing mood, I'll just add a friendly reminder here. While there's a very minimal chance of bricking your set when you flash a ROM, flashing a new radio takes the risk to a new level. If there's anything that can brick your set, it's the radio. You can recover from a corrupted ROM, but if you flash a corrupted radio, the only way to fix it is to send your set to HTC.

Do's
- Make sure your battery is full. The last thing you want is the phone shutting down while radio flashing due to low power.
- Check the MD5 hash of the downloaded radio image (or ROM if it includes a radio). Make sure downloaded copy and the one published on the site matches.

Dont's
- Never pull the battery out while the phone is updating the radio. It'll take some time for the updating process to complete. Be patient and wait. Some impatient people thinks that the phone 'hangs' and pulls the battery out to get it to restart. As a result, bricked phone and hello HTC service center.

I've flashed dozens of ROMs on my Hero and N1 but whenever I need to flash a radio, it still sends shivers down my spine.

Have you tried booting into recovery and try flashing a ROM from there?
Clockworkmod comes in two parts, the recovery image itself and the front-end (ROM Manager). There's a possibility that the ROM manager part is broken while the recovery image is not. One way to determine this is to boot into the recovery console itself (not sure what the key combo for that on Desire, on the N1 it's volume down + power). Or if you have a terminal emulator installed and you have root, start the terminal emulator and type this:
?su
#reboot recovery

I see. So we need to find a way to load an uncorrupted recovery image.
If you are familiar with 'fastboot', you can do this:-

1) Download Clockwork image here:-
http://koush.tandtgaming.com/recoveries/re...5.0.1-bravo.img

2) Stash it somewhere where fastboot can locate it.

3) Boot the phone into the bootloader

4) start the command prompt on your PC and type 'fastboot devices' to make sure your phone is recognized by fastboot

5) Now we're gonna load the downloaded recovery image. type:-
fastboot boot recovery-clockwork-2.5.0.1-bravo.img

you should see something like 'downloading boot.img....'

6) If everything went fine the phone should be in recovery mode but not using the suspected corrupted recovery image on the phone. It's using the one you downloaded.

7) Check if the settings and backup folder issue is fixed.

And do this at your own risk. I dont have a Desire to test this method thoroughly. I'm running Amon RA on my N1, sometimes when I want to use some Clockwork functions, I just fastboot the image using the method above. This way, I dont need to flash and re-flash between the two recovery image.

For step 2, the easiest way is to move the downloaded recovery image into the directory where the fastboot binary is located. If you already have fastboot in your system PATH variable, you dont need to do this. Just execute the fastboot command in the directory where the recovery image was placed.

Step 4 is starting a command prompt ('Run.. cmd' on Windows or open a terminal on Linux). Is that DOS box thing where you can type text commands. So you'll have something like this:
C:\androidsdk\fastboot devices

if your device is recognized by fastboot it will reply with 'HTC xxxxxxxx', where 'xxxxxxx' is your device's serial number.

What? 13-minutes is too late? I was replying while eating lunch.
Glad you got your issue sorted though.

Use Metamorph.