Photo-shoots and inclusion of copyright-protected works: a reader asks

A good example: the Gigi album cover on the
album cover of Pink Floyd's Ummagumma

A reader writes with the following question:

"Does the principle of exhaustion of rights enable someone to prevent a copyright owner from asserting his rights in props which are being for a photo-shoot -- for example where a painting, a sculpture or a book appears in the background on a table in an advertisement? Would there be any kind of defence to a copyright infringement claim?  I mention the exhaustion of rights principle -- but I know that not all rights of a copyright owner are exhausted just because the distribution right may have been exhausted!".

I offered my own answer, and was told that the reader has received advice both that the exhaustion doctrine applies and that it doesn't. On the facts as spelled out here, what do readers think? (Readers from outside the European Union: do please state your jurisdiction).