the help desk e-mail is configured under main->configuration->settings->user->customer help e-mail
That is the e-mail address that will RECEIVE the help desk e-mail
When you open the help desk form from the front end to ask for help, the SENDER e-mail is of course the user's e-mail. So if it's you who opens the form, the e-mail address is always yours...
(not a bug => moving to the correct forum)