No, in Wallpaper Engine you subscribe to different wallpaper's via the Steam Workshop interface in the app. The wallpaper you subscribe to is then downloaded to your computer. In this case it is being reported that the villains are somehow bundling malware in to the files you download for the wallpaper effects and when run it steals your Steam credentials.
The only thing Display Fusion has in common with Wallpaper Engine in resgards to operations is they both use Steam as a marketplace, one of the most popular software marketplaces in the world. There is zero risk.
Furthermore, the offending wallpapers have been purged from the platform and security patched up. Here are the steps you can take to see if you were affected by the malware and further details on whats been done to remedy the situation:
Sorry if a mod was meant to answer this, I didn't know what the response time would be for you guys on the weekend and this guy seems fairly concerned about his risk of exposure.
@bk- is correct, we test and review all code, including the scripted functions available in our repository, before it becomes available in DisplayFusion. Nothing to worry about here