Hello Alain Moune,
Thank you for posting in Microsoft Community forum.
Please check or troubleshoot some settings below:
1.Where did you link this GPO (the domain or one OU)? If you link this GPO to one OU, please put all the user accounts and Administrator to the same OU.
2.Check if all the domain users can access the shared folder with wallpaper picture.
3.You can change Z:\wallpaper.jpg to \some-ip\some-location\wallpaper.jpg from the third setting and check if it helps.
4.Check if you set any GPO filter (WMI filter and security filter).
5.Check group policy result via gpresult.
For checking User Configurations within gpresult, we can follow steps below.
Logon the machine using normal domain user account.
Create a folder named F1.
Open CMD (do not run as Administrator).
Type gpresult /h C:\F1\gpo.html and click Enter.
Open gpo.html and check gpo setting under "User Details".
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