Not all Galleries will have the option to change backgrounds, but if your photographer has enabled Backgrounds for any of your images, you will see this message after clicking it in your gallery:
"This is a featured background. More backgrounds are available in the storefront."
Once you have favorited your images and clicked "Shop", you will open up the storefront where you can add your image(s) to a product. Within the product customizer, if Backgrounds are available for the selected image, you will see the "Backgrounds" option here to browse and change the background for the current product:
Background choices are set by your photographer and will vary between galleries.
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