Another way to view/save these wallpapers is to go to Personalize, click on Desktop Background at the bottom, a window displaying all the backgrounds for that theme will open, right click on the image you want, click OK to the Windows Security message that is displayed, right click menu will display, select Preview, the image will be displayed in Windows Photo Viewer (on my PC), select the File dropdown, select Make A Copy..., and save the image where ever you'd like.