Attitudes and mores regarding fair use of copyrighted works have been skewed somewhat in the post-Napster world. Using a photograph found on a website as your desktop image without permission is technically against copyright laws, but who’s going to stop you? The law may be on the books, but it would take all the copyright holder’s resources to enforce it.
Of course, using a found image as a desktop is a minor infraction, but the same methods of image extraction can be used for much more malicious reasons, such as re-purposing images for a commercial project.
It’s like cavities: Prevention is the best medicine.