This is becoming a stupid joke, after another day the collection disappeared again, it is back to the default Whitehaven picture. I wish MS could explain what they are trying to do with this.
Not a coincidence that this screwup happens every time they update the Lock screen spotlight pictures.
I think it is proven by now that the 2 features Windows Spotlight for the Lock Screen pictures and the Spotlight collection for the Background pictures are stepping on each other toes. When the Lock screen pictures are updated, they screw up the Spotlight collection pictures which may just disappear.
Clearly the 2 processes should be separate and not interfere on each other, but currently one process is affecting the other.

You can see that all the pictures of the collection that were set on 1/8/2022 have just disappeared from the assets folder on this machine, it just happened after the Lock Screen Spotlight pictures were updated.

Same bug on a second machine, spotlight collection disappeared on the same day just an hour later, all pictures from 1/8/2022 are gone:

