This usually happens when your base default profile is based on the build-in local Administrator or an temporary account used to do the profile build which is then deleted. The registry key covering HKCU\ControlPanel\Desktop\WallPaper points to C:\Users\Administrator (or which ever account)\AppData\Roaming\Microsoft\Windows\Themes\TranscodedWallpaper.jpg. This key (and file) is normally generated during the new user profile creation process via Active Setup, in particular the Themes active setup.
When you "imprint" a default profile by copying you bypass the Active Set up process (intentionally to speed things up) and thus this key normally remains locked to the build profile. Some folks catch the key and manually modify it but this does not auto generate the wall paper file which is based off of: C:\Windows\Web\Wallpaper\Windows\img0.jpg.
You have several options to rectify:
If you use UEM you just make sure you have a Windows Settings-Wallpaper Personalization task with a pre-defined default setting that configures the registry key I listed and copies over the transcoded jpg to their profile in the location I noted. If you don't use UEM any more traditional process using a logon script or even GPO for first logon etc.. will do. You can just add the file to the Default\Roaming\Microsoft\Windows\Themes folder but I like to be a bit more dynamic and take care of the key and file when the user is logging on to make sure the user name is proper (%USERNAME% has a history of doing funky things during this process when using the imprint method).
We also use a default profile imprint for linked clone base OS (Windows 7) but are slowly moving away as we get UEM tweaked to cover all the normal default profile generation processes. Just need to make sure you cover all the required Active Setup functions. Also note to go back in and edit the default user registry (load hive while logged on as the Administrator account) and weed out any references to build account name when using this technique. There are normally several left over regardless of the third party tool you use to do the imprint. Defprof for instance leaves several behind.
