Changing wallpaper manually always works. And it seems that is the problem actually. If default doesn't load, which happens in 99% of time, I'm stuck with previous one or I can manually select some of those in .images. And it seems that this is the problem, changing theme that has wallpaper other then default makes another theme use that same wallpaper. And only way to fix it is to choose default theme and then manually set default wallpaper. After that I can change theme to any other and the wallpaper will be changed according to the theme. Changing theme again and everything works. But if I change default theme wallpaper with one of my own, it will stay after changing theme.
For now, I have only 4 themes installed (2 defaults, iStyle light and an-Droid) but I'm gonna install some more to do some further rebooting.
Maybe the problem is that my loopable wallpapers are all prior PR 1.2 (4 images and configuration file) and now it's not needed anymore. Only 3200 width image is enough.

edit #1
OK, I added Blue Sky, Okuda and Marina. Now I have 7 of them and switching between them without changing default wallpaper works fine. Switching with changed wallpaper not so fine. But I don't see any pattern yet. But it seems it's more likely that wallpaper will be changed if I wait for some time before reboot. If it doesn't, rebooting doesn't help either. Power button menu and icons get changed but WP doesn't.

edit #2
OK, now I added black plastic and pack 1 and 2. Switching from blue sky to black plastic, no WP change. I changed it manually. Then I selected pleego scheme and reboot. Works OK. And now something strange, didn't happen before. After booting to pleego scheme I selected liquidcarbon scheme and reboot. And after booting I still have pleego WP. But after about a minute it changed to default carbon one.