When you click on "Change Background" then "Load From File", "Open File" dialog is opened and you must locate where wallpapers are stored (mostly in "/usr/share/wallpapers/") then check the suitable screen size and finally select one of them, so why not make it easy for average user and show the same list of images that are displayed in Desktop and Lock screen wallpaper selection.
Thank you for the bug report! Please note that Plasma 5.26.5 will not be supported for much longer by KDE; supported versions are 5.27, and 5.27 or newer. Please upgrade to the latest version as soon as your distribution makes it available to you. Plasma is a fast-moving project, and bugs in one version are often fixed in the next one.
*** This bug has been marked as a duplicate of bug 454272 ***
*** This bug has been marked as a duplicate of bug 408863 ***