Good news! I figured it out, all you have to do is:
Go to Settings -> Apps -> See all apps
Then tap the three dots in the top right corner and tap Show system. Then tap the search icon next to the three dots and search for "Photo Screensavers".
Select the Photo Screensavers app and tap Permissions.
Then tap the Photos and videos permission and either tap Allow to allow complete storage access,
Or, better yet, tap Storage Scopes, Enable them and then add only the folders and files you want to use.
Storage Scopes is such a great feature!
Hope that helps anyone who had the same question.