Desktop Background on first logon

Hi,

We have a Windows 2008 R2 Farm and the users are configured to get a Aero Visual Style theme when they log on. The Theme is applied using a GPO "User Configuration\Policies\Administrative Templates\Control Panel\Personalization" and Loopback processing is set to "replace" via another GPO. We find that when a user logs on for the first time they get the standard "Windows 2008 R2" branded background but then get the correct black Themed background when they log on after that. Could anyone provide some insight on how this happens?

thanks.