I, too, have had issues with Sonoma on this very thing. I have a folder merely called "Pictures" that's loaded with over 100 images—all PSDs—that were set to rotate each day (at midnight), in alphabetical order. Since I updated to Sonoma, that hasn't worked out so well. For some reason, the system loads only a dozen or so of those images and those rotate around noon.
I like my own images for wallpapers. But I don't remember them being referred to as wallpapers before Sonoma. If there's a place to put them where they can be used like before and have them rotate correctly, I'm up for suggestions.
It's been my experience that Apple likes to introduce new ways of doing things that they see as beneficial, but will screw up some things for longtime users like myself.