I've run Onyx and that doesn't solve the problem.
...every time I turn on the computer because it doesn't remember my choice.
Any one have anything constructive to contribute towards a solution?
Next step may be to try Trashing the appropriate .plist temporarily in case it's corrupt maybe. I'm still on Mavericks and don't know what might have changed in their Yosemite.
I realized the photo I wanted on the desktop was on my flash drive so I used Photos to import it.
Then I selected it from Pictures and restarted the computer. This time the photo I wanted was there on the screen.