I tried a little experiment, that so far seems to be holding, only time will tell. I went to the themes folder where Opera saves the wallpapers in zip format and deleted everyone there.
The path in my case was: C:\Users\Terry\AppData\Roaming\Opera Software\Opera Stable\themes
So far I've been able to keep a background picture for two days with no problems. I'll keep your updated. As I said originally it's not a serious problem but it is annoying.