Except for MSN Wallpaper Manager, none of those programs do what the thread title wants. Thanks for the effort though. =]
MSN Wallpaper Manager has the habit of wanting everything saved on the cloud, so it works if you only have < 10 wallpapers to set into a cycle, but doesn't help when you have any more. It also can't set a certain group of wallpapers to slideshow.
I'm sure this program won't be too hard to code. I just wonder why no one's done it yet.