Yes using the Zeam launcher, when setting "set wallpaper", it will only see your installed SD card or an SD partition. I can't tell you why but looks this is how the app was written to work. The Zeam launcher has been around awhile was originally made for phones, which a majority of all phone came with a either built in sd card or external sd card slot. If you uninstall Zeam, your stock launcher will take back over and know where your stock wallpapers are on your internal storage. Hope that helps.
I put my pictures for wallpaper in folder /media/My Files/Pictures
When I hit 'set wallpaper' in Zeam it asks for Live Wallpaper or Pictures, I select Pictures,
then it asks 'Complete action using: ES File Explorer or Gallery'.
I select Gallery and it displays all of the B&N images, and the ones I placed in the folder /media/My Files/Pictures for my selection.
NC rooted 1.0.1 and Zeam 2.8.7 that I downloaded just a few days ago.