Hi Craig,
In Windows 11 each virtual desktop keeps its own background mode, so if Desktop 1 is set to Slideshow and Desktop 2 is set to Picture, switching to Desktop 2 will make Background show Picture.
The fix is to set Slideshow once on every desktop you use. Press Win+Tab to open Task View, click a desktop thumbnail to switch to it, then open Settings > Personalization > Background and set Background to Slideshow, pick your folder, set Change picture every and turn on Shuffle if you want. Repeat those same steps after switching to each of your other desktops. Once every desktop is configured, switching desktops will no longer flip you back to Picture.
A little trick: When you create a new desktop, create it while you are on a desktop that already uses Slideshow, so the new one inherits that setting.