I had virtual desktops active. What I had to do was remove all the virtual desktops, then I was able to select the background for specific monitors using the right-click menu on Recent Images in Settings > Personalization > Background.
I had virtual desktops active. What I had to do was remove all the virtual desktops, then I was able to select the background for specific monitors using the right-click menu on Recent Images in Settings > Personalization > Background.