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The policy that prevents devices from changing the desktop background can be found in the Local Group Policy Editor. Here are the steps to access it:
Press Win + R to open the Run command dialog box.
Type gpedit.msc and press OK to open the Local Group Policy Editor.
Navigate to User Configuration > Administrative Templates > Control Panel > Personalization.
Double-click the Prevent changing desktop background option.
In the next window, select the Enabled option.
This policy prevents users from changing the desktop wallpaper by using Display Properties. However, there are ways of changing the wallpaper setting, such as through Image Preview, which does not involve Display Properties.
Please note that you must be signed in as an administrator to allow or prevent changing the desktop background. Also, this policy applies to all users, specific users or groups, or all users except administrators.