It sounds like the blackberry user tools desktop manager software is pushing the default wallpaper into the phone when you use the software, so to me it sounds like it's the software doing this as opposed to the phone of course.
Are you using the backup & restore area of the phone. If so, I'd be interested to see if your issue could be duplicated by (for example) a representative utlizing a different Storm, or even the same one to see if it is in the fact the software that's pushing those settings.
Best thing I'd recommend is going through the process step by step with a representative to determine where it could be possibly setting these defaults.
Where is the photo store, on an SD card or device memory? If it stored on an SD card, move it to the device memory. The SD card is not available when plugged in to the computer via USB. If you move the photo you have set to wallpaper to device memory, it will always show up.
Just go into your photos, highlight the one you want and hit the menu button. scroll up to move and then select device memory. Done.