Just tried it myself and used Desktop Settings then clicked on the [+]
button and navigated to usr/share/backgrounds then highlighted all of
the ones in there and clicked on 'Add'. Only one of them appears in
the list after selecting, despite them all apparently being there to
select initially and on re-boot the background is not longer there
with only the default set available once more. Is that what you've
been doing ?

If the backgrounds are placed in a folder in 'Pictures' then you can
add one and it will stay as the default on a reboot but only one image
at a time can be stored there that way, if you change the background
then it replaces the previous one in the list.

Looking for where Xubuntu stores these default images - found them in
usr/share/xfce4/backdrops but it's a system folder so you cannot just
copy files into it, need to be root so from terminal, navigate to the
folder where your pictures are saved...

sudo cp *.* /usr/share/xfce4/backdrops

This works and keeps the list of backgrounds in 'Desktop Settings' :-)