I would say it's easier to move to WinForms/WPF from ASP.NET than the other way. This is due in large part to the fact that ASP.NET has statelessness to overcome, as well as being inherently multi-user plus having a far larger variety of technologies which you have to integrate at once. To top all that off you have a whole host of reliability issues built into the fact that it's a combination of network resources that completes an ASP.NET website.
These are all issues that you will either not see at all, or very very minimally in desktop applications. There are however a minimum of desktop application issues you will see that are not also facts of ASP.NET development as well. The only real common desktop application problem that ASP.NET doesn't have is machine dependencies, with ASP.NET you control the server and manage what's installed on it, with desktop applications you have to manage dependencies on the deployment environment by way of some installer or other such. Also there's the presentational thread that you have to be mindful not to block, but the threading you deal with in ASP.NET is umpteen times more complex than this, so managing that is quite easy.