I tried using thunar with LXDE, with pcmanfm handling the desktop. When I right-click an image file I get a nonfunctional context menu entry "Set as wallpaper" which I cannot disable. Of course it is possible to create a custom "Set as wallpaper" action that uses the command "pcmanfm --set-wallpaper %f" but the redundant original entry is still there. The code to execute it, though, is in xfdesktop, so it works only in the full XFCE environment. In the interest of modularity a hardcoded menu entry in an application should also contain the code to execute it within the application itself.
*** This bug has been marked as a duplicate of bug 6292 ***