This problem is showing it’s ugly head again in 6.0, unfortunately. I’m not using the wallpaper feature, but I am using Microsoft’s Active Desktop for other reasons: I put all my Desktop icons in a menu on the side. They take up too much space otherwise…
UPDATE: It went away when I restarted the program. Maybe it might be a good idea to automatically restart the program when making setting changes? At least do it after the initial setup, which is when I had problems?