2 questions:
1) Have you patched your 0.99h in, or is it a fresh install/save for 0.99h?
2) Did you interact with her (not just equip the cake near her) You need to to 'Use' Sweets Musume to get the wallpapers. In rpgmaker, her 'crazy mode' script activates two flags (the wallpapers), and the trigger for these is 'Push Key', so you have to activate her to get them