In 4.4.x a wallpaper would be set as soon as it was selected. What 4.6.x do seems to be more the Gnome way (i.e., clunky, anti-featured, and user-unfriendly): it adds the selected wallpaper to a list, and the user must then scroll up to the wallpaper and click to activate it. 

Restoring the old 4.4 Desktop Settings dialog in its entirety is regressive, but would it be possible to make it so that a wallpaper thus chosen is immediately set? I can't imagine a lot of people choosing several different wallpapers every time they open this dialog (and it seems not to remember anything chosen anyway...).