Changing my default file manager to Nautilus doesn't make the desktop icons open in it

The desktop icons still use the caja explorer, which I would like to change

You won't be able to do that.

Nautilus no longer handles any features regarding visual interactions with desktop ( displaying icons, manage items with drag'n'drop, opening files… )

Therefore the « desktop screen » is still managed by Caja, hence any interaction with that screen triggers Caja.

Depending on why you switched to Nautilus, you may try Nemo ( which like Caja is a fork of Nautilus ) and still handles « classic » desktop features.

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