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Currently, it seems that I have to right-click and select a wallpaper per monitor. Other Linux DE's have a feature like moving that dialogue to the screen to change its wallpaper.

So, why not provide any of the following options?

1. Add a way to designate the monitor in the Wallpaper dialogue. Such as a dropdown, or a tab, like [Monitor 1], and [Monitor 2].
2. Move the dialogue to the monitor that the user want to change its wallpaper.
3. Add a simple checkbox [Apply to ALL screens].

Along similar lines, allowing you to change the backgrounds for multiple activities at a time would be nice.