This Microsoft Support article describes the problem ("This behavior is by design")
Previous Bitmap Image Displayed When Computer Is Locked
Read this article to understand how this problem occurs (normally when one was a bmp and the other a jpeg).
The solution given is as follows:
To prevent this behavior from occurring, clear the previous wallpaper by clicking None in theSelect a background picture or HTML document as wallpaper box, and then clicking Apply. Then, select the Active Desktop image you want to use. When the computer is locked, the computer will display the background color and no previous images.