Ok, I’ve found where the issue is via a similar bug in Cinnamon: mate-settings-daemon doesn’t use AccountsService, or doesn’t have a specific plugin to manage the background with it. Basically, the daemon is supposed to update the file /var/lib/AccountsService/users/username through gsettings to add/update the background in the User section. This value is then used by LightDM to fetch the user background and display it as expected.
I’ve updated a bug report I had opened on Launchpad.
EDIT: opened one too on GitHub for msd.
(cc @Wimpy)