On KDE, there’s actually a separate feature which provides essentially virtual desktops with changing wallpapers (and widgets and a few other things), which is called “Activities”. You can also then use multiple virtual desktops per Activity.

I think, that’s kind of the main reason: Many people use virtual desktops differently.
For some folks, they represent different larger topics, where the Activities feature would match very well.
For others, virtual desktops are more like a second monitor, so they just want to see different windows, nothing more. In fact, some desktop environments like GNOME, create and destroy virtual desktops per demand. They couldn’t really remember the wallpaper for those workspaces.