Hello Sandesh Tomke,
Thank you for posting in Microsoft Community forum.
Please tell us how you set wallpaper via GPO and what GPO setting you configured.
You can try to set it based on the steps in the link below. https://umatechnology.org/how-to-set-desktop-wallpaper-using-group-policy-or-registry-editor/
I hope the information above is helpful.
If you have any question or concern, please feel free to let us know.
Best Regards,
Daisy Zhou