@recobayu
I've tested the way you want to set up with pcmanfm providing the Desktop on JWM.
For to fix the conky display to be transparent (matching the wallpaper you use);
Comment out "setbackdrop &", so becomes:
# setbackdrop &
in ~/startup-jwm and in /usr/local/bin/jwm-obmenu (line 8)
EDIT: And restart X
For the problem of disappearing "desktop_drive_icons" when clicking on the Desktop, I tried a couple of things, but don't know how to solve.
On openbox + pcmanfm --desktop it works displaying desktop_drive_icons without a problem, so I think it's the combination of JWM +pcmanfm that doesn't match.