Yes, to be able to add your OWN pictures to the list of pre-installed WIndows Backgrounds without having to find them all on your HD and put them into your own custom directory would be nice!
There should be a way to select the ones already shown in WINDOWS DESKTOP BACKGROUNDS, then add your own from another folder to the shuffle mix. Currently there is no way to do that in RC.
I believe this used to be available in the beta though.