The other possibility of your desktop wallpaper not showing is because of a setting in the Control Panel. You need to disable or uncheck the button beside Remove background images.

Check the Open Supported Hyperlinks to Office Files in Office Desktop Apps option. Click OK to return to the Word document. Enable this setting so that Microsoft 365 always opens the file in Word ...

Not perfect, but handy for Google Drive types. In my tests, Google Drive wasn’t able to correctly identify and suggest all of my desktop apps. The open source GIMP photo editor, for example ...

Here, you can assign the app to any desktop you want. If you’re not seeing any additional desktops, you might need to open up Mission Control and create a new desktop first.