You can change the desktop wallpaper setting after administrator selects "Prevent Changing Wallpaper" option in Group Policy

If users right-click a picture and then click Set as Desktop Background, they can change their desktop wallpaper even though you (the administrator) has enabled the Prevent changing wallpaper property in Group Policy.

The Prevent changing wallpaper Group Policy prevents users from changing the desktop wallpaper by using Display Properties. However, there are ways of changing the wallpaper setting, such as through Image Preview, that do not involve Display Properties. By these other methods, users do not experience the limitations that apply to Display Properties. You must specify Active Desktop Wallpaper in Group Policy to prevent users from changing the desktop wallpaper without using Display Properties.

To resolve this issue, specify an Active Desktop wallpaper setting in Group Policy. To do this, follow these steps:

1. Click Start, click Run, and then type gpedit.msc.
2. Under Local Computer Policy, expand User Configuration, expand Administrative Templates, expand Desktop, and then click Active Desktop.
3. Double-click Active Desktop Wallpaper.
4. On the Setting tab, click Enabled, type the path to the desktop wallpaper that you want to use, and then click OK.

This behavior is by design.