If users right-click a picture and then click Set as Desktop Background, they can change their desktop wallpaper even though you (the administrator) have 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, which does 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.