As in topic. I noticed it in the latest version of DisplayFusion v12.0.1 that I just updated earlier today. It would bug out either when it's time to change the wallaper, or when you apply the slideshow settings and it fetches a new wallpaper. It is to be noted that this is an inconsistent behavior. Sometimes it works, sometimes it basically just couldn't seem to change the wallpaper, gave up, and it just changes to Windows wallpaper.

Don't know which one of the 'fixes' on the v12.0.1 broke it for me but reverting to v12.0.0 seems to have fixed it.