I don't know how is this even a news to anyone. Had a look at Kasperksy's website - big shock - what do you mean running an "exe" based wallpapers is used as attack vector. 🙄
If you don't know, there is a ton of pirated porn and games on Wallpaper Engine's workshop that just pretend to be wallpapers, but in reality it's just a way of certain "regions" share illegal content. So it's not surprising it's used as an attack vector - you are literally running a random exe on your PC, when you download those wallpapers.
Steam users have been warned about malware being distributed through Wallpaper Engine
Researchers found hackers hiding malicious software in downloads shared on the platform