brent But I've probably overthought this already...
That wouldn't surprise me.
In Plasma, I just select the picture I want to use, right-click on it, and choose Set as wallpaper from the context menu. I suppose it could be creating a symlink, but I've never given that much thought. If I had to take a guess, I'd suspect that it's copied somewhere. I doubt that the background would disappear if the original picture were deleted, but I admit I've never tried that to find out.
By the way, this image -- with the context menu open -- was taken of my Plasma VM, using Spectacle on my host laptop. I tried to do it with my Budgie VM instead, figuring that would mean more to you, but I couldn't find a similar item in the context menu. Perhaps it's found elsewhere on Budgie?