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I think I was having the same problem in Edge. Local files or from url both didn't work.

The "Save changes" button seemed to give no reaction. The dialog didn't go away. I tried to log out then selected the background from url and clicked "Save changes". This time the dialog went away and the background was changed successfully. But if I log in, the "Save changes" button doesn't work again. The refresh button works with "from url" and I can see the image, but the image doen't change when select from local files.

I found some pictures that can replicate the problem.

No. 1 works. No. 2 doesn't work anyway. No. 3 works after No. 1 or 2 selected.