Finally found the answer (after thinking a bit). Unless you have been tampering with other stuff, this is the most likely cause.
When you select "Slideshow", Windows looks for the folder you specified in a location.
If you moved or deleted the folder, it can't find it.
Windows will then go "nup" and revert.
To fix this, recreate the folder with that name in that exact location. It may need to have stuff in it (haven't tested)
And if you wanna switch it you can.