On a couple of fresh Lucid installs so far I've run into this same problem, whereby GDM2setup and/or Ubuntu Tweak are unable to change the wallpaper for Xsplash. This apparently stems from the fact that a directory both programs need to modify does not exist by default in 10.04.
A fix presented itself in the form of the reply from WobblyBob on launchpad here.
Essentially all you need to do is run this command in the terminal:
sudo mkdir /usr/share/images/Then attempt to change the wallpaper once again. Hopefully that has fixed it!