Live wallpaper selection on Pie? I find the new Wallpaper app on Pie doesn't let you pick live wallpapers. Even when I downloaded the APK and installed it, it says 'cannot install'. 

It's not as though 9 doesn't support them, the first time I installed a live wallpaper, I was able to click 'open' on the package installer and set it, but now since it doesn't provide an app icon I can't go back to it if I change to something else. I'm running the LineageOS 16 based Resurrection Remix custom ROM on a OnePlus 3.
You should install a third-party launcher for your Android phone. This will enable you choose Live wallpapers. Your custom ROM launcher doesn't support live wallpapers.

Also, for future references, contact the developers of the custom ROM to include the ability to include live wallpaper option in their next versions.