Don't know why it is doing that. I have found it useful to set the wallpaper for the Default User via the registry. But what that gave me was the same wallpaper on the login and lock screens.
If, and only if, you are already comfortable editing the registry, you can try modifying - oh, heck, that's on my home machine and I'm at work. I'll edit if I find it. EDIT: HKEY_USERS/.DEFAULT/ControlPanel/Desktop/Wallpaper.
The other thing that occurs to me is that random resets of system settings may indicate a virus or other malware. Do you run regular scans?
Well the computer hasnt been scanned by a top anti virus or a malware program , it tried the registry thing but it stops at HKEY_USERS/.DEFAULT/ControlPanel/Desktop i dont see the wallpaper part