You should have Malwarebytes' Anti-Malware ignore this detection. The reason it gets detected and should continue to be detected is the same reason that Microsoft changed the default setting.
You see, often times malware will install and change the user's desktop background using what's called Active Desktop, which allows you to use an actual webpage as your desktop background. It's a neat feature but when malware uses it it can have dire consequences. For example, when a rogue/fake antivirus installs and places a message on your desktop that's actually a live webpage saying you're infected and every time you click on your desktop it takes you to their website and tries to download malicious software to your system and/or tries to get you to pay for their fake security software. When malware does this it will often change that very setting in the registry which prevents the user from removing the webpage and changing their background back to normal.
This is the very reason this detection exists, so that when this policy has been altered, Malwarebytes' Anti-Malware can fix it. It is also the reason that this setting was changed in Vista and Windows 7 by Microsoft, to preempt malware from altering the user's desktop by setting up a malicous website as their desktop background.
The only possible solution I can currently see would be for Malwarebytes' Anti-Malware to detect the OS that it's running on and automatically ignore this particular setting if it detects Windows Vista or Windows 7 but I'm not one of the developers so I don't know how difficult that would be or if it is even possible.
Anyway, thank you for the comments and I hope I've adequately answered your query. If you need anything else please post.
Thanks
(Hijack.DisplayProperties) - Malwarebytes Forum