Ok...
@carmar , I fixed it.
First, open dconf-editor and navigate to /org/nemo/desktop > ignored-desktop-handlers
Choose Custom value.
In mine, I already have conky added. You need to add 'xfdesktop' to this. If you have no conky and no other ignored handlers, it would like like ['xfdesktop']
On mine, because I have conky (This is for others that have other ignored handlers), it looks like ['xfdesktop', 'conky']
Apply and exit.
Now, open xfce4-settings-manager (Settings in Zorinmenu-lite app menu) and > Desktop Settings and then Icons. For icon type select none.
Back out to the Main Settings. Go down to System > Session and Startup > Application autostart and click the add button. Enter just nemo-desktop in all fields to make it easy. Or you can make your own name and comment...
But command is nemo-desktop
Once done, Log out and in and enjoy the problem being gone.