The title says it all, and it's simple, if you know how — it's not in your regular settings:
- open the Group Policy Editor (use Search to search for "group policy" or so, or run gpedit.msc);
- go to Computer Configuration > Administrative Templates > System > Logon;
- select Show clear logon background; and
- set this to Enabled.
Oh yeah, and
because even in 2019 Windows is not able to change simple system settings (we're not exactly talking deep kernel internals here, folks) without a reboot. :P
After that, it should work. (But don't ask me why this setting doesn't have a, well, setting, in Settings. Also, don't ask me who at Microsoft decided that this looked good in the first place)