PowerPoint Brand Images: folders appear as tabs, but images only show under “All”

I think this is a limitation or bug in the current Brand Images rollout than a SharePoint configuration issue. Since the folders appear as tabs but the images only show under All, PowerPoint is clearly reading the folder structure but not applying the folder filter correctly.

Your setup sounds correct, especially since you reproduced the same result in both desktop and web. I would try one simple test with a brand-new library containing only one folder and one image. If the same thing happens, I’d raise a Microsoft support case because it points to folder-scoped retrieval rather than indexing or CDN configuration.