Unfortunately, we couldn't reproduce the issue - the wallpaper reappeared on the Agent's screen right after the connection was over. Could you please clarify if you have the Monitor driver installed on the remote machine where Agent is used? If it is installed, we recommend that you uninstall it as the Monitor driver is only used for the blank remote screen feature. You can check if it's installed in your Windows device list and in the Agent's settings as well. In order to uninstall the driver, open the Advanced settings window, navigate to the Driver tab and click Uninstall.
If there was no Monitor driver installed on the Agent computer, could you please let us know what exact options were chosen for your custom Agent on each step of the configuration process?