I am seeing several user accounts on company machines that are having this particular problem with the welcome screen being displayed after the screen saver closes, even though the checkbox for displaying the welcome screen, in the screensaver tab, is not checked off. I also tried disabling the screensaver password protect by using the group policy item:
-> User Configuration -> Administrative Templates -> Control Panel
-> Display -> [Password protect the screen saver]
The screensaver in question is the My Picture Slideshow one.
If you've seen this before, how did you solve it?