The desktop background setting has three modes of operation, the active mode is selected through the radio buttons below "Image". The modes are: 1. a single image from a list chosen by the user ("Single Image"), 2. an image that is randomly chosen from lists of images at the start of the session ("Image List"), or 3. no image at all ("None") The lists of images for the first and the second mode are handled separately and only the second mode allows creating/importing external list files. That seems to be somewhat unintuitive and confusing to users (see e.g. https://bugzilla.novell.com/show_bug.cgi?id=679453). I'd suggest that both modes use the same list and both allow creating/importing external list files.
xfdesktop-settings starting in 4.11 follows most of the design decisions from https://wiki.xfce.org/design/xfdesktop/settings to prevent a lot of confusion the old dialog had. So this bug won't be an issue anymore, instead of lists it just looks at the folder where the current image was set from so images can easily be added and removed while xfdesktop is running.