Unable to change wallpaper

I have experienced this problem as well and the only solution is to change from a transcoded wallpaper file by doing this:

Search for %USERPROFILE%\AppData\Roaming\Microsoft\Windows\Themes\, then right-click the file entitled "Transcoded Wallpaper," and then select "Rename". Change the name to "transcodedwallpaper.old".

Double-click the "slideshow.ini" file. This should automatically open in Notepad. Erase all text that appears in this file (if there is any), and then click "File," followed by "Save" in Notepad. copy your background Image, and rename it "transcodedwallpaper"

Then, go to "CachedFiles" and the default image there, remove it. Paste your background image and name it "CachedImage_1440_900_POS4" or the name of the previous image.

Have you activated Windows yet? Apparently, Windows 8 won't let you change the wallpaper until it is activated. It will not show any error message; it will just ignore your selection.

Yesterday I did a clean install and tried changing the wallpaper (before activating) and it didn't work. Same exact symptoms as you; it would automatically revert back to the "Windows" theme, no matter what I choose. Once I activated Windows and rebooted, changing the wallpaper worked perfectly.

I'm not 100% sure, but I think Windows 7 did this too.