I've tried that through Terminal as admin user and root user, it still prevent any changes. I even tried it through recovery mode terminal, I made the change with ease and back up the original Catalina.heic by rename it. but when booting macOS Catalina, it restart before it reaches to the login window like it crashes everytime it sees a different Catalina.heic. I had to delete Catalina.heic and put the original heic back. While in Terminal, I checked the extended attributes and noticed there's a lot listed under the picture file that I wanted to put on login list. I removed all by typing xattr command with -c under that picture file name. The only thing that's listed is com.apple.macl that cannot be removed.
I typed ls -al@ Catalina*
to show the permission list along with others and the file I change to Catalina.heic shows "@" at the end of the permission read/white. This still did not solve it. This has something to do with the extended attribute because all the original pictures under /System/Library/Desktop Pictures has no extended attributes on any of them. I'm still learning about terminal and Catalina.