Android version: Android 5.0 Lollipop
The following message kept appearing on the screen (in Dutch: Xperia Home gebruiken voor startscherm). Even if you choose Always; 10 minutes later, the message appeared again.
After trying everything (changing settings, factory reset - with backup & restore), we found out the app: Connect for Hotmail is the culprit one. The phone thought the app was a home screen launcher. So everytime I opened the app it changed the default setting for the launcher. After uninstalling the app, the problem was gone ... We now switched to the Microsoft Outlook.com app, hoping this app will act better then Connect for Hotmail