can't protect registry key

HKEY_CURRENT_USER\Control Panel\Desktop*

I can not protect that registry key. I’ve messed with nearly everything concievable, e.g., predifined Windows System Application rules, changed ‘allow’ for protected registry to ‘ask’, also the above reg key is listed in ‘protected registry keys’, I’ve put it in blocked reg keys for IE, Explorer, shell32 and various other places.

And yet, when I select ‘set as background’ in IE context menu the wallpaper is changed w/out any alert. And yet, when I modify that key in regedit then an alert appears.

If I block the dfault file / folder for desktop walpaper, then an alert appears when trying to set as background.