I'm having the same issue. No matter which of my photos I pick; I set as wallpaper, it effectively says: "ok, it is now you wallpaper". I go back to my home screen, and it has changed, but the "HTC Sense" Live Wallpaper (the colorful, bubbly one....), not the photo I select. I've been digging all around this forum and others and can't find out why this is happening and how to fix....
Any help out there?