I make sure the main image/background/settings I want it selected (with the only image I want with the theme with a checkmark in it) then I save it as a theme. When I want other images to be rotated with that theme I do that after the fact and once I have selected my theme and applied it. I merely make sure those images are also 'check-marked' without any others also check-marked, and then I check-mark as indicated in your screenshot where it says 'rotate' and I set a time frame. Play around with it you'll get it.