Hi,
Do you mean your Slideshow folder? Is it for your desktop background or lock screen? To my knowledge, there shouldn't be an option to select a folder or images when using Windows Spotlight as the images comes from the Microsoft servers and display them as your Desktop background or on your lock screen.
If you're referring to your Slideshow folder, where is the folder placed exactly? Do the images have the same image type (ex: .jpeg or .png)?