I am getting the exact behavior.
Did you follow through with the process? Did you click the Browse button and start choosing pictures you never have chosen before? That is important because when the folder gets recreated there is nothing inside, not even previous pictures you chose in the past.
You need to repopulate the pictures to see them again. You must click the Browse button and begin choosing a picture you never used as a lock screen picture before. If you try to choose one you have used before you will see nothing.