DJG said:
Hmm, his looks like a new feature.

I right-click on the desktop and select Personalize. There's a Background option drop-down with three selections: Picture, Solid Color, and Slide Show. Selecting Picture shows some pictures and a Browse option. If I right-click on a displayed image I can set for all monitors or either of the monitors. Looks like they're listening ...
Can confirm that this works for me, as does the "WINKEY + R control /name Microsoft.Personalization /page pageWallpaper" method to access the old style Desktop Personalization dialog.

In both instances I'm able to right click on an image and choose "Set on monitor 1" or "Set on monitor 2".

Useful thread! Thanks to all.