You're not stupid Could you paste your entire .desktop file? Are you absolutely sure each photo is a working jpg and exactly 800x480 pixels in size? Are you absolutely sure you don't have the same Name= in the .desktop files for two different sets?

Could you send me your four images and the .desktop file? I'll pm you with my email address. It would be interesting to see if the exact same wallpaper that fails on your device works on mine.