heh ! You're right, it's gone
According to the Desire's how-to guide (all apps -> Learn more -> How-tos) , it should be in : Settings-> Privacy -> Back up my data and settings. That would be nice if the Privacy item was in the menu.
The guide also doesn't mention the option to turn the Desire into a hotspot, so it looks like it wasn't updated for Froyo. Maybe the backup option has moved, but I've turned the phone inside-out and didn't find it.
Nice one, that's certainly worth mentioning to HTC.
As for your problem, I only see one quick (and partial) solution.
The items in the SD card's "backup" folder can give a clue as to the date of the last backup. Just look at the files (not the folders, the files themselves) for the date they were last modified.
It's not much to go by, but it's better than nothing.