I have the feeling I've forgotten something...............
Hmm...... try this - open ~/.
config/pcmanfm/ and open the 2 files there - main and main.lxde. You should see as the last section of main.lxde something like this:
wallpaper=/usr/share/lxde/wallpapers/lxde_blue.jpg (or whichever wallpaper you've chosen)
The file main may have the same entry or most likely looks like this:
As a precaution, back up the 2 files by clicking File > Save As and adding a .
old extension to the name. Close the files, then reopen them - not the copies. Remove the entries between [Desktop] and [Interface], save and exit. logout and login.