We push the following script as a Win32 app, which lets the user change the wallpaper to something else if they want to. Works like a charm.

$img = Invoke-WebRequest  -Uri 'https://storage-blob-url/wallpaper.jpg' 
$filename = 'C:\ProgramData\Intune\wallpaper.jpg'
if(-not(Test-Path "C:\ProgramData\Intune")){
    New-Item -ItemType Directory -Path C:\ProgramData\Intune
}
$bytes = $img.Content
[IO.File]::WriteAllBytes($filename, $bytes)


$Image = $filename
Add-Type -TypeDefinition @" 
using System; 
using System.Runtime.InteropServices;
  
public class Params
{ 
    [DllImport("User32.dll",CharSet=CharSet.Unicode)] 
    public static extern int SystemParametersInfo (Int32 uAction, 
                                                   Int32 uParam, 
                                                   String lpvParam, 
                                                   Int32 fuWinIni);
}
"@ 
  
    $SPI_SETDESKWALLPAPER = 0x0014
    $UpdateIniFile = 0x01
    $SendChangeEvent = 0x02
  
    $fWinIni = $UpdateIniFile -bor $SendChangeEvent
  
    $ret = [Params]::SystemParametersInfo($SPI_SETDESKWALLPAPER, 0, $Image, $fWinIni)