I know this is really old and no one else has responder so far, but I experience the same issue - but only with my night time theme.
During the day, everything works perfectly fine.
When my sleep focus activates, a different wallpaper (both lockscreen and homescreen) is set. It appears perfectly fine on the lockscreen, but when I unlock it, it is black (and not just dimmed or so).
Only after locking and unlocking it several times, it suddenly appears also in the homescreen and then stays.
Interestingly, once the focus is switched off (eg in the morning) both wallpapers immediately change back to my "normal daytime wallpaper".
It's just a minor inconvenience, but it's still annoying.