I can help you with this, I had that issue before.
it is not about settings.
There is a folder about this
C:\ProgramData\Microsoft\Windows\SystemData
it is a system folder, first you need to accsess, change the owner and open with admin rights
there are 2 folders in it
S-1-5-18
S-1-5-21-1819520571-1186344035-200566658-1001 <--- this folder will fix your issue
C:\ProgramData\Microsoft\Windows\SystemData\S-1-5-21-1819520571-1186344035-200566658-1001\ReadOnly\
there is folders named as LockScreen_B, LockScreen_* etc..
now all you have to do
find your own lock screen image folder and
windows default (your cave lock screen) folder
Different Lock Screen Picture When Turning On The Computer-sc.png
for me it was LockScreen_B and LockScreen_W
i erased the files in LockScreen_W, and copied files from LockScreen_B to LockScreen_W folder
after that reboot, win+L, etc... all the time i see my lockscreen picture
if you
i hope you can fix your issue with this, it is really annoying to see pictures that you dont want.