Found my own solution.......
If the background image used is a JPEG, then Windows will turn on active desktop. When you lock you workstation, it will show whatever colour is set as your desktop colour.
If you use a Windows bitmap file for the wallpaper, it will change your desktop background to the image and also use it for locking.
In the thread of MotoGP wallpaper pics, I used the JPEG and it didn't display while locking. I used to have custom bitmap files as my old wallpapers which would show when you lock your machine. I knew this used to work and now I know why.
;D