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If you are on Windows 10 this is normal.  Windows 10 has been changed in such a way to prevent that feature working, so WB10 does not offer it on Windows 10.  It continues to offer it on Windows 7 and 8/8.1.

You can change the colour of the explorer backgrounds with WindowBlinds, and a new Windows 10 specific system wide colour has been added for this, but textures are a no go.