Microsoft Virtual Desktop Manager (MSVDM) (microsoft multi desktop manager from XP powertoys) seems to somehow assign and remember a background for each virtual desktop.
(In fact, MSVDM seems to do that by storing 4 .bmp images (1 for each desktop) )
When you tell it to use "Nuonsoft WPC Wallpaper", it does copy the current wallpaper as MSVDM-DesktopN.bmp (N=0 to 3). The WPC cycling still works, but is not that useful as when switching 'virtual' desktop the wallpaper is overridden by one of the stored MSVDM-Desktop image.
Any idea of a workaround ?