security options screen opens, the background changes from a blurred image to a solid color.

WilliamsDavis​ 

 issue appears to be related to the Windows Acrylic/transparency effect rather than the Lock Screen background itself.

Please try the following:

Open Settings > Personalization > Colors and make sure Transparency effects is turned on.

Also go to Settings > Accessibility > Visual effects and verify that Transparency effects is enabled.

If the issue persists, check whether the Show clear logon background policy has been enabled:

Press Win + R, type gpedit.msc, and press Enter.

Navigate to:

Computer Configuration > Administrative Templates > System > Logon

Locate Show clear logon background.

Set it to Not Configured or Disabled.

Restart the computer and check again.

If the normal sign-in screen still displays the blurred background correctly and only the Ctrl + Alt + Delete  Security Options screen changed to a solid background after installing a Windows update, this may be a change or issue introduced by the Windows build rather than a Lock Screen configuration problem.

In that case, I would recommend checking the Windows version and OS build by pressing Win + R, typing winver, and pressing Enter. Please share the Windows version and OS build so we can determine whether this behavior is associated with a recent update.