That's strange, let me test this on my end.
Edit
Okay I tested it on this end and it works fine for me when I replace the stock backdrop.
Here is what I did and it worked fine...
(1) Built the level and saved it
(2) Built EXE of game
(3) Navigated to... C:\Users\MYUSERNAME\Documents\FPSC X10 Files\x10 executables\MYGAMENAME\Files\gamecore\backdrops\Basic
(4) Deleted the stock backdrop in that folder (keep the editor's one)
(5) Pasted a copy of my backdrop in that folder and renamed it to 'background' like the stock image (I used a JPG like the stock one)
(6) Ran the EXE and saw my beautiful backdrop
Make sure your backdrop is the right size! (wrong size could cause a crash)
The above method works great for one level but for more levels then...
C:\Users\MYUSERNAME\Documents\FPSC X10 Files\x10 executables\MYGAMENAME\Files\languagebank\english\gamebank\MYGAMENAME
...has all of its loading pages there.
Just edit the name of the file (background.jpg) for each loading page but leave the path the same.
Then put your images in the same folder as the stock backdrop.
Of course I built the game having all stock backdrops for all levels.
Then it is as easy as adding a number to each one...so loading page 2 gets background2.jpg
and loading page 3 gets background3.jpg and so on.
Again, this is done all post-build, so it is a manual process, but it works on this end.
One more time just for clearity...
Build the game first (the EXE)
C:\Users\MYUSERNAME\Documents\FPSC X10 Files\x10 executables\MYGAMENAME\Files\gamecore\backdrops\Basic
...is the path where you place your backgound images.
and...
C:\Users\MYUSERNAME\Documents\FPSC X10 Files\x10 executables\MYGAMENAME\Files\languagebank\english\gamebank\MYGAMENAME
...is where the loading pages are that need to have the names edited.
This manual method is easy, once you do it a couple times.