So I have Lion on my iMac; set Andromeda Galaxy as my wallpaper last week or so, but I think it's time for a change - I set it to the Lion wallpaper (literally, the one with a Lion head), and all was well for the time being. I turned my iMac off for the night last night and this morning, I turned it on - the wallpaper was back to the Andromeda Galaxy. I didn't notice, though, and continued my work as usual. Just now, I tried to change it, but when I created a new desktop space, bam. The new space is the AG wallpaper -___- screensaver is the same. I'm thinking it's something with permissions. Anything I can do in terminal? I'll run a Verify Permissions in Disk Utility just in case and report back...
Must be a bug of some sort. I did experience it, but what I did instead was kill all spaces, restart the computer, change the wallpaper, restart the computer, and create new spaces. That's how it fixed for me. BTW, what I mean by 'kill spaces' and 'new spaces' is that you should edit spaces when you are in mission control.
Certainly another bug I've got Lion installed on my MBP. Yes, the wallpaper failing to change is a bug that I see too. Either with the 17" laptop display, or one of my two external monitors. I blogged about other bugs and issues with Lion.
I have noticed that with Lion the wallpapers can be changed independently for each desktop space. However, if you removed all spaces bar the 1st, change the wallpaper on 1 then create new spaces then the newly created spaces will have the same wallpaper as space 1 (does this make sense?). I think that the problem the OP is experiencing is either a bug or a little confusion as to how spaces work in relation to wallpapers in Lion (no offence intended here). Personally I hate this. I would prefer to be able to change a wallpaper and 'apply to all spaces' or 'apply to this space only'. Maybe Apple will take note of people's difficulties with spaces/wallpapers and make adjustments in a future update?