That’s been an issue on Windows for probably two decades at this point.

There is freeware to do it, ymmv. DesktopOK is the first I saw. My company used to use desk lock. Looks like it has been around for a long time.

Also there is a registry hack nosavesettings that may help.

Also, someone on Reddit says it is caused by the system icons and that you only want shortcuts, not the icons themselves. Remove the icons through personalization.

Good luck!

Yes. Windows is annoying like that.