I never found Active Desktop all that useful. It was annoying because if you wanted a jpg desktop wallpaper, it would enable Active Desktop just for that. The problem was that it noticeably slowed the entire system. I would always convert to bmp and use that, taking a hit on disk space (and possibly RAM) instead of speed.
So, after they're loaded and (possibly) scaled to fit the screen, I'd expect every background image to use exactly the same memory amount.
Well, not centered or tiled backgrounds, which I recall Windows did support, and upscaling could be done on a per-pixel basis (although I don't know if that was supported), but yes, the image format shouldn't matter.
Back when win95 and co were being made, decoding an image was a lot of work for the hardware, I suspect they'll try to make restoring the background (e.g. dragging a window around and changing what's occluded) to be the simplest bitblt they can.