One reason is that the customised background makes users feel more accustomed to the concept of a "cloud desktop".
(Except those users don't think they're making a mess of their ability to customize... they think they're expressing themselves, yo).
Interesting. This is actually what first came to my mind: Google is copying the desktop? Not Bing. As many of you said, Bing isn't the first web page to put a pretty background picture (some of the first web pages were the first web pages with pretty background pictures, were they not?). And, as we concluded, the concept is different - choosing, instead of getting a random pic.
So, now you can change the "desktop background" of your google homepage - "the Internet", as often called by many people where I come from. Add some shortcuts to the picture with pretty custom icons (links), support for a clock, a calendar (widgets), a tray or a bar with quick launch and various options...
If only a browser existed that loaded automatically when you start your computer, without the need for all that "windows loading stuff"... :)
I was aiming at the concept of the "cloud desktop", as kierank commented in the meantime.
You could probably change the script a bit to wget Bing's image into /tmp or somewhere and use that.
If I want to look at one of my own pretty pictures, or some other picture I've chosen myself, I'll just make it my desktop background.