Suppose I wanted to use a PNG file as a desktop background. I can right click on it and select "Set as desktop background".
Surprisingly, this does not actually set the image as the desktop background. Rather, it appears to generate a JPEG-converted version of the image (I have no idea where it is stored), and use that instead of the original PNG file.
How do I know this? The image that appears as background on the desktop is sprinkled with DCT quantization noise, and the colors are washed out. For example, consider the following 1920x1080 PNG image (right click to open as full-size):

This is what it looks like when I take a screenshot of the background (right-click and open in a new tab to see details):

As you will see when viewed at actual size, the high-spatial-frequency visual components are surrounded by the characteristic haze of quantization errors unique to JPG images, and the colors are significantly less vibrant, both of which prove that the original file is not being used. I saved the screenshot losslessly, so this is exactly as it appears on my screen.
Does Windows support the use of PNG images without on-the-fly lossy conversion to JPEG? Or does this feature not exist? Admittedly this is a minor gripe, but I was wondering if any Super User's knew of any workarounds.