Turns out that the wallpaper HAS to be in png format, otherwise it won’t work. This solved the issue for me. An alternative solution would be to install vanity (an application for showing/switching wallpapers) and add it to run on startup.
That’s not accurate at all. You can use jpg/jpeg images. It’s possible that the name of your images was the issue, like a weird character, spaces in the filename, etc., or something else. But is certainly not because it wasn’t a PNG file. Unless there is some new update I am unaware of.
Either way, your wallpaper is working now. So, good job getting it to work.