When I did this, the files opened in Photos, even though the default app is PDN… then I selected one image, right click open with, click choose another app (even though PDN is listed there the ‘always’ and ‘just once’ options are only on the ‘choose another app’ menu), then choose PDN from the other apps list, and click the always button. After doing this, it reset the behavior for opening multiple files in PDN using the method you described, selecting and hitting enter.
Weird that even though the default app was already set for the file type, I had to ‘remind’ windows by specifying always open with this program. The background thing is possibly due to something with the way themes works with the photos app.
Also, as with anything buggy in windows, make sure you are super up to date on updates, and restart your computer.