Organising wallpapers in subfolders
It looks like selecting multiple different folders for images for your Desktop or Screen Saver is not a native function. In other words, if you have a hierarchy of a main folder, Pictures, then underneath you have folders (for example) Family, Vacation, and Wedding, and you only want to display Family, and Vacation, there would be no way to do that. I think the simplest would be to create a folder with all the images you want on your Desktop/Screensaver.