You will eventually be in a state of "logged out" at some point -- whether it's due to a restart, turning off the computer to install or change hardware, power outages, etc.

Even if you never log out and simply lock the screen when you leave the computer, you will eventually encounter the "logged out" state for one reason or another.

The problem with your request is that it has to work when the computer transitions from a "logged out" to a "logged in" state. What this means is that the operating system must ensure that the desktop background image is set AFTER and ONLY AFTER all network drives are mounted (because we both see the problems if the computer tries to set the background image before the network share is mounted, yes?).

Microsoft likely cannot guarantee that this will happen. It is entirely possible that network shares are mounted AFTER the background image is set, and, therefore, your computer would be unable to locate the image when it comes time to paint the background with that image. That simply will not work.

So, what are the ramifications? Let's pretend that you're able to set a background image from a network location. Let's say that you NEVER log out, and only lock the screen. Let's also say that background images are set BEFORE network shares are mounted.

So, what does this mean? This means that when Windows 10 auto-installs an update overnight that requires a system reboot, and the system is rebooted, and you return to the computer in the morning and log in, BLAM -- your background image is missing. Why? Because your computer restarted, thus logging you out, then you logged in, then the computer tried to set the background image, but a problem arose -- the location (network share) where the background image resides was unavailable when Windows tried to set the background image.

That's the low down and dirty on why this is unsupported, and, currently, not possible to do with Windows 10.

Perhaps it will be possible in the future, but for now, it's largely a no-go. It doesn't matter that you want this to happen and that you don't log out in favor of simply locking your screen -- the logic explained above has to be taken into account by the operating system because not everyone simply locks their screen when they step away -- some people log out.

In order for Windows to set a background image, the location where the image resides MUST be available when the operating system tries to set the background image, and on a network share, this is not guaranteed to happen because network shares are not persistently mounted through a log out procedure like local storage (specifically the system drive) is.