Wallpaper (apparently) not being applied by Set Wallpaper action.
If a user profile is created without the ActiveSetup keys e.g. a mandatory profile, then ActiveSetup will run every time the user logs on to a machine. This has manifested itself on Windows 10 because the way of creating profiles has changed and the ActiveSetup keys are no longer included in (Appsense) V6 mandatory profiles.
Using the ActiveSetup WSG in Personalisation solves the issue by personalising the ActiveSetup keys which prevents ActiveSetup running.
A policy only solution could be to use the Group Policy wallpaper keys as these are respected even if ActiveSetup is run