Hi,
If the Q&A Assist steps didn't work, do you have any customization software installed?
Check if you are in "Picture" mode and if the selected photo is in the chosen folder.
Start menu > Settings > Personalization > Background > Mode: select "Picture" > Browse.
Then go to the "Themes" tab > "Save theme" and name it whatever you like.
If that doesn't work, open the Command Prompt (as administrator) and run the following commands: sfc /scannow and dism /online /cleanup-image /restorehealth. Wait for the process to finish and restart your computer.
Then perform a clean boot and uninstall any applications you don't use.
If that doesn't work, try using Lively Wallpaper to see if it maintains the wallpaper.
https://apps.microsoft.com/detail/9ntm2qc6qws7?hl=en-US&gl=US
Thanks.