Just to be sure OP, did you do the following to keep the wallpaper ? I have no issues with 10.8.3 or even the older 10.8.2....Of course, I don't have a video card, just the onboard video chip...
1. Save wallpapers in > Finder > Pictures
2. Now click on System Preferences
3. Click on Folders that you will have your wallpaper
4. Click on your favorite wallpaper in the right pane....Wa-La...Done