With proofing set to your monitor profile PS is showing you what you will get if you send the raw RGB numbers to the display with no colour correction, so it should match the wallpaper. With proofing off PS is doing its best to show the colours the RGB values have in your working space (sRGB, if you haven't changed the defaults), which will not be the same as they have on your screen, so it will send a different set of RGB values to the video card and the image won't match the wallpaper.