Hi Tristan,
One of the possible reason why you're unable to locate the folder set for your desktop background is due to the folder being hidden. We recommend that you check the folder options if it's configure correctly. Follow the steps below:
- Go to File Explorer > Click the View tab.
- Select Options > Choose Change folder and search options.
- Go to View tab > Under Hidden files and folders select Show hidden files, folders, and drives.
- Click Apply then OK.
You may also go to C:\Windows\Web and check if the folder you're looking for is there.
Keep us updated about the status of the issue.