Installing that application should not cause the screenshot window to appear... that is a very odd glitch. Have you installed any other software or tried any other configuration changes?
I know you mentioned deleting some files.
Did you remove the .xml files contained within the gnome, xfce and zorin-mountain directories as well?
Is /usr/share/backgrounds now an empty directory?
Hmmm, default contains the above folders, as well as an .xml file. If the directory is empty, undoing that step would be the first thing to try.
Here are the default files;