After trying out lots of things and descriptions from the internet, I figured out, that the default file manager PCManFm could be the reason.
Lubuntu 14.04 | Lubuntu 15.10
PCManFM 1.2.0 | PCManFM 1.2.3
In LXDE wiki I found out, that there were major changes made to the behavior of PCManFM after version 1.2.0. Therefore I played around a bit and found out the following solution worked for me.
Possible Solution / Workaround:
1. LXSessions Default Applications
In the start menu you choose the „Default applications for LXSession“ from the „Preferences“.
The most top entry sets the default filemanager for the LXSession.
Click on „More“ and change the entry „Manual Setting“ from pcmanfm to pcmanfm --desktop. That forces PCManFM to manage the desktop.
Update the setting by logging out and in again. Just in case you have a keyboard shortcut to open your filemanager, e.g. HOME+e or WINDOWS+e, the system calls the default configuration, which means calling pcmanfm --desktop again. That call actually restarts PCManFM and sets the wallpaper correctly. But when using the keyboard shortcut again, that actually makes the desktop icons disappear and not opening the filemanager!
To fix this, I added the call pcmanfm --desktop to the autostart programs, and manually changed the keyboard shortcut.
2. Autostart
To call the filemanager at least once at system startup, add pcmanfm --desktop manually to the autostart programs in "Default applications for LXSessions" from the "Preferences" menu.
3. Keyboard Shortcut
Edit your keyboard shortcuts using VIM or any other text editor. Edit the file ~/.config/openbox/lubuntu-rc.xml. In the section <keyboard> you can find the keyboard shortcuts for your session. The default looks like this:
<!-- Keybindings for running applications on Home + E -->
<keybind key="W-e">
<action name="Execute">
<startupnotify>
<enabled>true</enabled>
<name>File manager</name>
</startupnotify>
<command>lxsession-default file_manager</command>
</action>
</keybind>
Change the line <command>lxsession-default file_manager</command> with a direct call to the filemanager pcmanfm on your system, like this:
<!-- Keybindings for running applications on Home + E -->
<keybind key="W-e">
<action name="Execute">
<startupnotify>
<enabled>true</enabled>
<name>File manager</name>
</startupnotify>
<command>pcmanfm</command>
</action>
</keybind>
After logging out and in again, my systems seems to work now, as I was used to it before, check the picture below.
The icons are on the same monitor as the start menu, two different images were set as desktop wallpaper, when using right mouse click on the desktop, the LXDE Desktop Preferences dialog opens and one can select different images for both monitors.
Hopefully this helps someone, I don't know if it's a bug or a feature of Lubuntu 15.10 / PCManFM.
