that error is returned by the windows API, I really don't know why. It has been reported by several users but in all cases the wallpaper was changed successfully. I may depend on some third party components installed in windows, for example one user started to have this issue when he installed the Aavast antivirus. Anyway if the wallapaper is changed I would advise you to simply ignore the error and configure the program to not display them. Options window -> Interface -> Remove the tick from "Display balloon messages when wallpaper change fails"