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As long as you get the wallpapers through the workshop, they're mostly safe, haven't heard from anyone getting a virus this way.
Just don't go and install external exe wallpapers lol, but I shouldn't have to mention this.
And if you're still afraid, install some hex editor and open the exe there, if you see a large exe but it's mostly 0's in the hex editor, yeah, don't open that.
But I agree, some way to have a volume control would be nice, not sure if it could be done with a preset.