When wallpapers are deleted from Steam for any reason, Steam will also delete them from your PC. Wallpaper Engine cannot prevent that, but if this is a concern for you, you can make a backup of your wallpapers.
Similar to that, there are many reports that Steam will randomly decide to re-download all Workshop files, which can be an annoyance if it's many GBs of data. Creating a backup and severing all ties to Steam can avoid that if it happens too often.
Creating a Backup
- Steam stores all wallpapers in this location on your drive (depending on the Steam library where you installed Wallpaper Engine): C:\Program Files (x86)\Steam\steamapps\workshop\content\431960
- Copy the folder 431960 to Wallpaper Engine's installation path here: C:\Program Files (x86)\Steam\steamapps\common\wallpaper_engine\projects\431960
- Rename the folder 431960 into backup so you'll end up with this folder that includes all Workshop items: C:\Program Files (x86)\Steam\steamapps\common\wallpaper_engine\projects\backup
Restart the wallpaper browser and you should see the backed up wallpapers now. You can now unsubscribe the duplicate Steam ones and only use your personal copy of them.