A couple of extra things I have found are:
a) if you use a single image and use that as a "pair" for wallpaper (i.e. the Lock and Home screens) ... the blur effect holds OK and is automatically applied.
b) if you use one image for the Lock screen and another image for the Home screen, then apply Blur in Home screen customisation ... the blur effect holds as long as you ensure you fully close Settings as I initially described .... however, see next point !
c) Anytime you change your Wallpaper choice (I have about 10 on my phone that I move between depending on my mood) ... for any Wallpapers that use a single image, blur holds Ok ... any wallpapers that use two images lose the blur setting ... even though the customisation screen shows it is in play.... you then need to unset it, quite Settings, go back into settings and re-set it and quit settings again... should stay until you change your Wallpaper.
Should be something easily fixed by Apple but probably a low priority issue.