When running the VMware OS Optimization Tool (OSOT), a lot of optimalization is performed to get the best possible performance out of your VDI environment. This also means certain items will be disabled of which you don't want them to be disabled, including some personalization aspects such as setting a wallpaper or a background color.
It is not possible to revert the change from outside the VDI-build: any settings applied through GPO or DEM do not get applied. This is because the local group policy takes precedence and OSOT sets several optimizations through the local group policy. By changing the local group policy in the golden image itself, you can get rid of some of the lockdowns.
To allow setting a wallpaper and background color:
On the golden image, start gpedit.msc and change these settings.