I'm groping in the dark here, Darre ... but it is possible that if Razor-Qt was previously installed then removed, there are entries (in my case) in /etc/X11/dm.d/ that may not have been removed?
Frankly, I never removed Razor-Qt so I would not know but I'll try that.
Well, here are the contents of /etc/X11/dm.d/
-rw-r--r-- 1 root root 119 Jul 22 2011 10kdm.conf
-rw-r--r-- 1 root root 138 Jul 22 2011 20gdm.conf
-rw-r--r-- 1 root root 75 Jul 22 2011 30xdm.conf
Just the display manager entries, nothing else.
I did uninstall the previous RazorQt because rpm -Uvh *.rpm gave me an error message about a conflict with the new package and the older (still existing) /usr/lib64/libqtxdg.so.0. I should have saved the exact error message, but I didn't. Sorry. So, I did a complete removal of all the razorqt packages in Synaptic and tried again. Still got the same error. After doing rpm -e libqtxdg-0.4.0-2_archie_2012.x86_64 (just that one package), I was able to install all the new packages in one step. I still have the razorqt-0.4.1.tar.xz & razor-qt-0.4.0-2.tar.xz files if you think I should wipe all traces of RazorQt and repeat the steps again.
Or, could it just happen on specific DEs? I have no other except KDE and if I really would have my pick, I wouldn't want OpenBox with it but unfortunately, it is listed as a Require. As far as I've done, I've had the Razor-Desktop, Razor (KWin) and Razor (Openbox) sessions listed. I never did have the issues you described when I login-out of sessions.
The testing was done on an LXDE64 installation. Openbox comes with it because it's the window manager for LXDE. And, you did ask for results with window managers other than Kwin.
Regarding the desktop wallpapers, do you select outside /usr/share/wallpapers? The reason is I have wallpapers I like to use at /usr/share/wallpapers/archie and I choose from System. If in selecting a wallpaper from another location does not stick, I would post this issue on their site. I guess I could try that out as well.
I did copy some images to /usr/share/wallpapers and try to use them from there. Here's the file listing.
[darrel@localhost ~]$ ls -l /usr/share/wallpapers
total 6188
-rw-rw-r-- 1 darrel darrel 260206 Jan 22 04:05 043d-picture-image_iceberg-B.jpg
-rw-rw-r-- 1 darrel darrel 1615998 Jan 20 00:14 1920x1200_w1.jpg
-rw-rw-r-- 1 darrel darrel 68686 Jan 22 04:05 AdeliePenguin.jpg
-rw-rw-r-- 1 darrel darrel 67552 Jan 20 00:34 cutthroat-razor-3e2445.jpg
-rw-rw-r-- 1 darrel darrel 60416 Jan 20 00:12 Female_Crow___Wallpaper_by_Hananel.jpg
-rw-rw-r-- 1 darrel darrel 80174 Jan 22 04:06 iceberg-wallpaper-9.jpg
-rw-rw-r-- 1 darrel darrel 293643 Jan 22 04:07 lighting_over_iceberg-normal.jpg
lrwxrwxrwx 1 root root 27 Aug 12 2011 mandrake-linux -> /usr/share/mdk/backgrounds//
-rw-rw-r-- 1 darrel darrel 59571 Jan 20 00:18 razor_1911_by_pakpolaris-d3gsuwo.jpg
-rw-rw-r-- 1 darrel darrel 207746 Jan 20 00:27 Razor_Blade_by_Hauns.jpg
-rw-rw-r-- 1 darrel darrel 128611 Jan 20 00:26 razor-blade-grunge-background.jpg
-rw-rw-r-- 1 darrel darrel 61416 Jan 20 00:19 razorfish.jpg
-rw-rw-r-- 1 darrel darrel 556742 Jan 20 00:20 razor&snake.jpg
-rw-rw-r-- 1 darrel darrel 306931 Jan 20 00:08 razor-wallpaper-2560x1600.jpg
-rw-rw-r-- 1 darrel darrel 1587834 Jan 20 00:32 RazorWire_ws1200.jpg
-rw-rw-r-- 1 darrel darrel 74354 Jan 20 00:14 sweeney_todd_razor_w1.jpeg
-rw-rw-r-- 1 darrel darrel 817057 Jan 20 00:16 telo_djennifer_megan_foks-1366x768.jpg
[darrel@localhost ~]$
And here are my selection choices.

Maybe it's looking for something in the metadata of the files. I don't know. But, selecting one of the two files shown still gives me no new wallpaper. Is
this where I should report issues, or do you have another link?