Apologies for bumping the thread but will this require the client to be running an Enterprise version of Windows?
I've been finding since going through a lot of Intune setup that without using group policy setting a desktop wallpaper and lock-screen wallpaper is a lot more difficult than it really should be! 😅
EDIT: I haven't tried the script but on second thought it's not using the PersonalizationCSP key in the registry so maybe this will be okay without an Enterprise SKU.