When you implement the 'Prevent changing wallpaper' Group Policy, it only prevents the use of Display Properties to change wallpaper.
To workaround this feature:
1. Start / Run / gpedit.msc / OK.
2. Navigate through Local Computer Policy / User Configuration / Administrative Templates / Desktop / Active Desktop.
3. Double-click Active Desktop Wallpaper.
4. Press Enabled on the Setting tab.
5. Type the path to the wallpaper and press OK.