And I think I’ve found out why !
It seems by default the rights on folders
~/.cache
~/.cache/gnome-control-center
~/.cache/gnome-control-center/backgrounds
don’t give file acces to others !
So make sure those folders « let » root [ edit : it’s not root user but lightdm user ] read their content by chmod -R o+rX ~/.cache
Then you can even replace the original folder backgrounds by a sym-link of same name ( and with those right rights ) to any of your personal folder containing wallpapers pictures 
So now in « parameters / backgrounds / pictures tab » are displayed my wallpapers from a subfolder in my ~/Pictures folder.
