CMD+H doesn't show the desktop, it hides the foreground application. And OS X won't let you hide the only open window when it's the last visible application in the space -- there always needs to be a foreground application to show a menu bar for.
If you want to get that last application's windows out of the way to reveal the desktop you can usually use CMD-M to minimize the application. Of course this presents problems getting the application windows back when you use CMD-TAB.
Another option you could try is to close all Finder windows and, with Finder as the active application, do Option-Cmd-H to "Hide Others". This will display just your desktop. Finder is okay with having no active windows on screen, but being the foreground application.