If your wallpaper does not appear after remote controlling, you can turn it back on by going to Start > Control Panel > Display > Desktop Tab.

Select the desired wallpaper and click Apply. If you find that this is becoming a problem on a certain computer, it might be best to disable this feature within the host so the wallpaper isn't disabled to start with (warning - this will affect the transmission speed somewhat, so you might not want to do this on all systems, only those that are having this problem):

To disable this feature, before taking Remote Control, go to Preferences > General Settings and uncheck the option for Disable wallpaper and user interface effects on host computer. Then click OK at the bottom of the page.