Inexplicably, that option vanished in Windows 10. When Windows 8 came out, one of the first things multi-monitor users noticed is that there were a bunch of new menu options, including a very easy-to-use multi-monitor wallpaper selection tool built right into the Personalizations menu in the Control Panel.
The Complicated but Powerful Method: Change Your Wallpaper With the Personalization Menu Update: The command here no longer brings up the traditional Control Panel interface, but you can now use the Settings > Personalization > Background window to accomplish the same thing.