desktop wallpaper is not cached When you set a wallpaper despite the fact it is initially shown it is not cached. So for example if you set wallpaper A, change your mind, set B, and then set C (and let's say all of the images were on a pendrive for example, and then you detach it). Now, let's say you want to set some desktop properties, once you enter it -- you notice that all new wallpapers vanished, the current one also vanished and it was automatically changed to default wallpaper. Losing data = no good. User has to manually copy images as "manual cache".
That's how xfdesktop is designed to work. Copying the wallpapers over wouldn't work very well in 4.10 with image lists or entire folders in 4.11 as all those items would have to be copied over. It's better to leave it up to the user.