Screenshot becoming a wallpaper on Windows 10

This is the issue that I have seen on my computer twice.

We have a policy group that stops our users from changing their background wallpaper and lock screens on their computers.

whenever they go to change these types of settings especially in “personalize”, the settings where we can change our background and lock screen are colored greyed out. but some two of the different users
managed to take a screenshot of client data then this becomes their lock screen. is this can cause a data protection issue.

Their idea came to me I take off their GPO and managed to change their settings back to normal but it wasn’t working too much.

I am just shocked how it was happened both times the client data on the work screen so I would like to avoid at all by what has happened.

So if there are any type of suggestions near you then you can share it with me like this we can solve this type of problem.

Thanks at all.