If you are having problem setting wallpapers across multiple displays on macOS there can be a number of reasons.
 

The first thing to try is restarting your Mac. This may resolve the problem but it may not.
 

Sometimes setting Wallaroo to open in all spaces will work as a solution.
 

The easiest workaround is to save the image to a location on your desktop and then drag it onto the screen in Settings > Displays (you'll need to keep the file around because it’s used each time you restart your Mac).