I noticed this myself recently. I have a Raspberry Pi that was installed with the OctoPi image, ran the script you mentioned and like you, said "no" to the autoboot. There's no
startx script in the path.
What I would do in a case like this would be to "go to school" on the
raspi-config script itself. If you did select boot -> autoboot to Desktop as
pi from that menu then it would do something behind-the-scenes to change something. I would first do a
which raspi-config to find out where it lives, then a
nano somepath/raspi-config using the information that I'd just found.
I would then review the contents of that rather large script and find out what happens when I might select that option from the menu. It will likely put something in one of the configuration files that kickoff during bootup. I may do this later but I've just shutdown my Raspi so I'll let you do a little detective work first.
Update: It may be necessary to run
sudo apt-get -y install xinit