目前上传至创意工坊的application类壁纸都有这个问题，我也试过其他的application类的壁纸，都有这个问题（明明官方自带的那个抓羊的壁纸就不会）。在切换壁纸的时候会提示正在打开未知的应用程序，可能对电脑有害，并且要等三秒才能运行。。这一点我也没有办法，我自己订阅自己的壁纸也会出现这种警告。
如果你确实需要经常切换壁纸，也不是没有解决方法。从wallpaper engine左下角点击从文件中打开，找到steam的安装目录，打开Steam\steamapps\workshop\content\431960\880465586文件夹，将LoveLiveWallPaper.exe添加进来。只有在第一次运行的时候会警告，以后切换壁纸就不会警告了。缺点是这样添加的壁纸没有预览图。。。不过运行起来还是一样的。

All application type wallpapers in workshop have this problem.When you switch wallpaper, it warning you are opening an unknow application, may harm your computer, than you have to wait for 3 seconds before you run the wallpaper. I tried may other application type wallpapers, they have this problem too.
If you change your wallpaper very often, here is a solution.Click the Open Form File button on the left botton of Wallpaper Engine. Find your Steam Installation directory, open Steam\steamapps\workshop\content\431960\880465586\LoveLiveWallPaper.exe. It will warning you at the frist time you run it. Then this warning won't show another time you change your wallpaper. But wallpapers opened like this will not have a thumbnail image.