Any time I want to use an image I run across for that purpose, I save a separate copy to my Hdd first, to a folder named "Wallpaper". I suspect that the way you choose the images is going to put them in the \TEMP folder. There is this with all of the backgrounds and wallpaper swaps I've made in various Windows versions, when you change once again, you can't go back to the last previous one if you don't have the separate copy as I always make.
🙁